Kleibergen Paap F statistic test in xtdpdgmm

[Eti Sumiyati]

Hi everyone, I'm currently working with xtdpdgmm for my thesis but I'm confused how to get Kleibergen Paap F statistic test for weak instrument, can someone help me?
Here 's my code :

xtdpdgmm ROA l.DebtTA bi_3thn_out gsales size c.size#c.size c.l.DebtTA#c.bi_3thn_out if tin(2009,2019), model(diff) gmm(bi_3thn_out, lag(2 4) m(level)) gmm(ndtax tan, lag(2 2) diff m(diff)) two vce(r) nofootnote

Thankyou in advance!

[Sebastian Kripfganz]

xtdpdgmm does not itself report the Kleibergen-Paap statistic, but you can obtain it by replicating the xtdpdgmm results with ivreg2:

xtdpdgmm ROA l.DebtTA bi_3thn_out gsales size c.size#c.size c.l.DebtTA#c.bi_3thn_out if tin(2009,2019), model(diff) gmm(bi_3thn_out, lag(2 4) m(level)) gmm(ndtax tan, lag(2 2) diff m(diff)) two vce(r) nofootnote
quietly predict iv*, iv
ivreg2 ROA (l.DebtTA bi_3thn_out gsales size c.size#c.size c.l.DebtTA#c.bi_3thn_out = iv*) if tin(2009,2019), gmm2s cluster(id)

where id in the cluster() option of the last command line should be replaced by the name of your group identifier variable.

See also my 2019 London Stata Conference, starting at slide 39:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.