Hello everyone,
I am estimating a model using the Poisson Pseudo Maximum Likelihood (PPML) estimator with a control function approach (Testing and Correcting for Endogeneity in Nonlinear Unobserved Effects Models) to address endogeneity. However, due to the specific nature of my model, I cannot directly use the standard IV commands (e.g., ivregress) or user-written IV programs in Stata.
I would like to check for weak instruments using the first-stage F-statistics offered by weakivtest (from SSC). I can assume a hypothetical linear model for the second stage with a first-stage reduced form that is identical to what I have in my control function approach.
My question is: Can I use the first-stage F-statistic from a traditional linear IV model (e.g., 2SLS) to assess the strength of my instruments, even though my final estimation is with PPML using the control function approach?
This is how I implement my IV with control function (I skipped the part when I adjust the standard errors)
What I have in mind is to implement this IV model to only get F-stats:
P.S. In the new update, ivreghdfe (from SSC) is compatible with weakivtest, although it takes very long time to run.
I am estimating a model using the Poisson Pseudo Maximum Likelihood (PPML) estimator with a control function approach (Testing and Correcting for Endogeneity in Nonlinear Unobserved Effects Models) to address endogeneity. However, due to the specific nature of my model, I cannot directly use the standard IV commands (e.g., ivregress) or user-written IV programs in Stata.
I would like to check for weak instruments using the first-stage F-statistics offered by weakivtest (from SSC). I can assume a hypothetical linear model for the second stage with a first-stage reduced form that is identical to what I have in my control function approach.
My question is: Can I use the first-stage F-statistic from a traditional linear IV model (e.g., 2SLS) to assess the strength of my instruments, even though my final estimation is with PPML using the control function approach?
This is how I implement my IV with control function (I skipped the part when I adjust the standard errors)
HTML Code:
xtreg y2 i.city##c.log_price i.city##c.log_price x1 x2 , fe vce(cluster id) predict double u2h_fe, e ppmlhdfe y y2 u2h_fe x1 x2, absorb(time id) cluster(id)
HTML Code:
ivreghdfe y (y2=i.city##c.log_price i.city##c.log_price) x1 x2 , absorb(months home_id) cluster(home_id) weakivtest
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