I'm using the command ivregress 2sls, with clusters (each cluster is a school) and with pweights.

I have two endogenous variables (x1, x2) and 4 instruments. I'm trying to test my model and check if my instruments are not weak.

I used the estat firstatage command and I'm not sure how to interpret the result.

I have two endogenous variables (x1, x2) and 4 instruments. I'm trying to test my model and check if my instruments are not weak.

I used the estat firstatage command and I'm not sure how to interpret the result.

. estat firststage, all forcenonrobust | |||||

First-stage regression summary statistics | |||||

-------------------------------------------------------------------------- | |||||

| Adjusted Partial Robust | |||||

Variable | R-sq. R-sq. R-sq. F(4,155) Prob > F | |||||

-------------+------------------------------------------------------------ | |||||

X1 | 0.9640 0.9636 0.4335 27.2534 0.0000 | |||||

X2| 0.9822 0.9820 0.0520 1.34133 0.2571 | |||||

-------------------------------------------------------------------------- | |||||

(F statistics adjusted for 156 clusters in school) | |||||

Shea's partial R-squared | |||||

-------------------------------------------------- | |||||

| Shea's Shea's | |||||

Variable | Partial R-sq. Adj. Partial R-sq. | |||||

-------------+------------------------------------ | |||||

X1 | 0.4119 0.4048 | |||||

X2 | 0.0494 0.0379 | |||||

-------------------------------------------------- |

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