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  • How to compute Anderson-Rubin p-values to test for weak instrument problem?

    I am running a fixed-effects IV regression and wish to compute the Anderson-Rubin p-values to determine whether my instruments are weak. I am using the xtivreg2 command in Stata (but have tried to use ivreg2, xtivreg); however, it appears to not work with the "ar" command. Can anyone suggest how else I may compute the Anderson-Rubin p-values?

  • #2
    Use weakiv command after regression

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