[Andy Ho]

Dear Dr. Karakaplan,

The link to your example data is broken. Can you please fix it? Many thanks!

Cheers,
Anh

[Federico Antonioli]

I use this command in my research. I'd be glad if you told me how to obtain F-statistics to measure instrument's strength. I do not see these values in the output produced by the command.

Hi Lukasz,

I don't think the -xtsfkk- does that for you.
You could use -xtivreg2- for running your 2sls and use first to display the f-statistics of the first stage.

Hope this helps,
cheers

[Federico Antonioli]

Dear Dr Karakaplan,

thank you very much for providing the community with this new methodology.

I'm using the -xtsfkk-, and I was wondering how this estimator differs from the -sfkk-, that is, whether it allows disentangling time-varying (in)efficiency from unit-specific time-invariant unobserved heterogeneity (the true fixed effect).

Any suggestion would be of great help,
Thank in advance.
Kind regards,

Federico

[Lukasz Dabros]

I use this command in my research. I'd be glad if you told me how to obtain F-statistics to measure instrument's strength. I do not see these values in the output produced by the command.