2SLS Panel data instrument test

[Sophie Smith]

Good Afternoon,

I have used the following code to do a 2SLS IV regression with panel data.

xtivreg lnXt (visits=cost) lngdp_cap_const_d lngdp_cap_const_o member_eu_joint member_wto_joint i.year ,fe

I would now like to test my instrument (cost) relevance and weakness. how do I go about this?

Thanks,

Sophie

[Andrew Musau]

You may consider estimating the model using the community contributed commands ivreghdfe or xtivreg2 which incorporate tests of weak instruments as part of their default output.

ssc install ivreghdfe
ssc install xtivreg2

[ismaila yusuf]

Hello I have this code for system GMM

xtabond2 trisk l.trisk bind fenex femex feric crcomind femric fexric cbmeet l.rsanc inrel totd flev,  gmm (trisk fbric, lag(1  1) collapse eq(diff)) gmm(trisk fbric, lag(0 0) collapse eq(level)) iv(bind fenex femex feric crcomind femric fexri cbmeet inrel l.rsanc totd flev, equation(level)) robust orthogonal small nodiffsargan

Can anyone help on how to implement same or similar modeling using xtivreg2.