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  • Instrumental variable with region and year dummies

    Hi I am doing a panel data analysis but I am including year and region dummies to account for unobeserved heterogeneity.
    I am also doing 2sls procedure to account for endogeneity. Do i have to include the i.year and i.region dummies in my 2sls first stage when doiing the F test for weak instrument? When i include the i.year and i.region, the F test comes back very low, lower than 10. But when i don't include them, the F test statistic is higher, higher than 10.

  • #2
    Also, if including year and region dummies, does the i.region and the i.year go inside the parentheses with the endogenous variable and the instrument?

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