Dear all,
I am estimating a model with one endogenous variable (hasmigr_US) and
around 20 instruments using xtivreg2.
xtivreg2 goschool edad indchild oldest child45 child6 lowsixfam
edumam1 edumam2 edumam35 edumam68 edumam912 mommarried madrejefefam
ownhome survfam madremigfam smalltown divorcesep agricolaheadspouse
ctapropheadspouse oladummy (hasmigr_US= instrl* instrpi* instrac2*)
if sex==2 & edad_10_13==1, fe i(ident ) liml
Having failed Cragg/Donald WALD F test I decided to use LIML option
which supposedly is robust for weak instruments.
After re-running the model with LIML option, Cragg/Donald Wald F test
and the other tests are ok, but I get some quite odd and unrealistic
coefficient for the endogenous variable (right sign but wrong
(impossible) level).
What´s happening? Can you suggest what´s wrong or any other option to
deal with weak instruments.
many thanks
Filipa
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