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  • Interpretation of multiple IV test results for weak identification and being exogenous

    Does this mean my multiple IVs weakly identify the endogenous regressor since Kleibergen-Paap rk Wald F statistic): 2.749 < Stock-Yogo weak ID test critical values: 5% maximal IV 20.90

    Besides, this is also under identified : Underidentification test Chi-sq(11) P-val = 0.2038

    However, my multiple IVs are exogenous due to having Hansen j statistics p-value is greater than 0.05.

    Am I interpreting them in the right way ? Would appreciate any help regarding this.

    Code:
    Underidentification test (Kleibergen-Paap rk LM statistic):             14.555
                                                       Chi-sq(11) P-val =   0.2038
    ------------------------------------------------------------------------------
    Weak identification test (Cragg-Donald Wald F statistic):              3.2e+04
                             (Kleibergen-Paap rk Wald F statistic):          2.749
    Stock-Yogo weak ID test critical values:  5% maximal IV relative bias    20.90
                                             10% maximal IV relative bias    11.51
                                             20% maximal IV relative bias     6.56
                                             30% maximal IV relative bias     4.80
                                             10% maximal IV size             40.90
                                             15% maximal IV size             22.06
                                             20% maximal IV size             15.56
                                             25% maximal IV size             12.23
    Source: Stock-Yogo (2005).  Reproduced by permission.
    NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
    ------------------------------------------------------------------------------
    Hansen J statistic (overidentification test of all instruments):         8.579
                                                       Chi-sq(10) P-val =   0.5724
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