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Re: st: First stage F stats - xtivreg


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: First stage F stats - xtivreg
Date   Mon, 20 Jun 2011 15:39:00 -0400

Agnese Romiti <romitiagnese@gmail.com>:
Are you clustering by region to account for the likely correlation of
errors within region?
Also see
http://www.stata.com/meeting/boston10/boston10_nichols.pdf
for an alternative model that allows your dep var to be nonnegative.

On Mon, Jun 20, 2011 at 3:49 AM, Agnese Romiti <romitiagnese@gmail.com> wrote:
> Dear Statalist users,
>
> I'm running a fixed effect model with IV (xtivreg2) , my dependent
> variable is a measure of labor supply at the individual level (working
> hours). Whereas I have an endogenous variable with variation only at
> regional-year level.
> My question is about the First stage statistics, the Weak
> identification test results in an F statistics extremely high which
> makes me worry about something wrong, i.e. F=3289.
> Do you have any clue about potential reasons driving this odd result?
>
> Many thanks in advance for your help.
>
> Agnese
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