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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