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st: First-Stage Regression Statistics in XTIVREG
I need to perform instrumental variables (IV) estimation on panel
data. I have a random effects (RE) model. I have been using xtivreg,
re, with the "first" option, but the partial R-squared and F statistic
on the excluded instruments in the first-stage regression are not
reported and I really need them to check the quality of the IV
If I had a fixed effects (FE) model I could use xtdata, fe to time
demean my data and then use ivreg2, but I don't and quite a few of my
variables are time-invariant.
I am truly stuck, so any suggestions would be much appreciated.
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