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st: IVREG2 with two endogenous variables: CD/KP F-stat vs. AP F-stat


From   Miguel Àngel García López <MiquelAngel.Garcia@uab.cat>
To   statalist@hsphsun2.harvard.edu
Subject   st: IVREG2 with two endogenous variables: CD/KP F-stat vs. AP F-stat
Date   Fri, 01 Feb 2013 10:22:14 +0100

Hi all,
 
I am using ivreg2 for running my model with two endogenous variables:

ivreg2 y1 (x1 x2 = z1 z2) x3, robust

where x2 and z2 are interactions of x1 and z1, respectively. In other words, x2=dummy*x1 is an interacted endogenous variable and z2=dummy*z1 is an interacted instrument.

When I look at the first-stage statistics I find that the KP F-stat = 0.00 while the individual AP F-stats are around 20. 
And I am puzzle about which F-stat I should consider.

Following previous discussions such as http://www.stata.com/statalist/archive/2011-04/msg00853.html, I think I should only use AP F-stats.
Am I right?

Another question is why my CD F-stat is 0. Maybe because my instruments are highly correlated?

Thanks,

Miquel

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