Calling weakivtest after estimation with ivreghdfe

[Paula de Souza Leao Spinola]

Does anyone know how to get -weakivtest- to work with -ivreghdfe-?

. sysuse auto, clear
(1978 automobile data)

. ivreghdfe price weight (length=gear), absorb(rep78) cluster(rep78)
(MWFE estimator converged in 1 iterations)

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rep78

Number of clusters (rep78) =         5                Number of obs =       69
                                                      F(  2,     4) =     4.13
                                                      Prob > F      =   0.1064
Total (centered) SS     =  568436416.2                Centered R2   =   0.0008
Total (uncentered) SS   =  568436416.2                Uncentered R2 =   0.0008
Residual SS             =    567997123                Root MSE      =     2934

------------------------------------------------------------------------------
             |               Robust
       price | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
      length |   156.4453   339.3445     0.46   0.669    -785.7262    1098.617
      weight |  -1.899938   10.42416    -0.18   0.864    -30.84206    27.04218
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):              2.048
                                                   Chi-sq(1) P-val =    0.1524
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):                1.517
                         (Kleibergen-Paap rk Wald F statistic):          3.559
Stock-Yogo weak ID test critical values: 10% maximal IV size             16.38
                                         15% maximal IV size              8.96
                                         20% maximal IV size              6.66
                                         25% maximal IV size              5.53
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):         0.000
                                                 (equation exactly identified)
------------------------------------------------------------------------------
Instrumented:         length
Included instruments: weight
Excluded instruments: gear_ratio
Partialled-out:       _cons
                      nb: total SS, model F and R2s are after partialling-out;
                          any small-sample adjustments include partialled-out
                          variables in regressor count K
------------------------------------------------------------------------------

Absorbed degrees of freedom:
-----------------------------------------------------+
 Absorbed FE | Categories  - Redundant  = Num. Coefs |
-------------+---------------------------------------|
       rep78 |         5           5           0    *|
-----------------------------------------------------+
* = FE nested within cluster; treated as redundant for DoF computation

. weakivtest
Weakivtest is a postestimation command after running ivreg2 or ivregress.

.

The twitter post by the author's command suggest there is a way to make them work together:

Stata module weakivtest now supports noconstant. Useful if you want a robust pre-test for weak instruments, and are dealing with fixed effects via reghdfe.

Carolin Pflueger on Twitter: "Stata module weakivtest now supports noconstant. Useful if you want a robust pre-test for weak instruments, and are dealing with fixed effects via reghdfe. Thanks to @stroebel_econ for suggesting. @Ogoun" / Twitter

In my real example, I have a large dataset and am estimating -ivreghdfe- with three absorbed FE variables. Estimating it directly without considering high dimensional FE would be unfeasible.

[Miguel Henry]

Hi Paula,

See: https://www.statalist.org/forums/for...and-weakivtest

where your question was already asked by someone else.

[Luis Yepez]

Hi, an update for the "weakivtest" command is available, and it is now compatible with "reghdfe" and "ivreghdfe". To download this new version, you can type "adoupdate weakivtest" or "ssc install weakivtest.