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
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/
