Weak instrument F-stat using xtivreg

[Clara Weber]

Hi everybody,

I am running a 2SLS using xtivreg. This is the command I am using:
xtivreg agriculture logGDPconstantPPP MeanSchooling fertility WBL trade FDI i.year c.year#i.CountryCode_num (l.logInvestmentTotal = l.shiftshare), fe vce(cluster CountryCode_num)

since I am including c.year#i.CountryCode_num, I can't use the xtivreg2 command. But using the xtivreg does not show me F-stats such as the Cragg-Donald (Wald F-Stat) or Kleibergen-Paap (F-stat). How can I ge those using xtivreg?

I tried xtoverid, nois but it is "unrecognized". I also tried the ivreghdfe but it did not work.

Can someone help?

Thanks

[Andrew Musau]

I also tried the ivreghdfe but it did not work.

I do not know exactly what this means, but you should install the latest version of this command from https://github.com/sergiocorreia/ivreghdfe.

xtset panelvar year
xtivreg agriculture logGDPconstantPPP MeanSchooling fertility WBL trade FDI i.year c.year#i.CountryCode_num (l.logInvestmentTotal = l.shiftshare), fe vce(cluster CountryCode_num)

Absorbing indicators and replacing "panelvar" with the name of your panel identifier in the xtset command, you have:

ivreghdfe agriculture logGDPconstantPPP MeanSchooling fertility ///
WBL trade FDI (l.logInvestmentTotal = l.shiftshare), ///
absorb(panelvar i.year c.year#i.CountryCode_num) vce(cluster CountryCode_num)

This command will output the requested statistics.