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  • Instruments are strong, but variable is exogenous. Can't understand tests results

    Good morning, I'm performing an instrumental regression:
    If I " estat endog " I get very high p values, suggesting my endogenous variable is exogenous
    Then if I " estat firststage " I get a very high F test suggesting instruments are not weak,
    So what should I conclude? That my instuments are good but I should not use instrumental regression?

    Thank you very much

  • #2
    You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. I'm also not sure what you mean by high p values.

    I'm guessing because I don't have the full results, but I think the two tests are measuring different things. The first is whether the variable is endogenous. The second is how well the assumed exogenous variables predict the potentially endogenous variable.

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