My model has two endogenous variables and uses a bunch of instruments (model is over-identified). I estimate my model using ivreg2.
ivreg2 gives me Cragg-Donald Wald F statistic, and Kleibergen-Paap rk Wald F statistic, but my understanding is that these days the way to go is using the Montiel-Olea Pfluger F statistic that is usually given by weakivtest, used post-estimation.
In my case, two endogenous variables, the command does not work because ``Weakivtest requires one endogenous regressor.".
Should I go for one of the other statistics or is there a way to obtain Montiel-Olea Pfluger F in some other way?
ivreg2 gives me Cragg-Donald Wald F statistic, and Kleibergen-Paap rk Wald F statistic, but my understanding is that these days the way to go is using the Montiel-Olea Pfluger F statistic that is usually given by weakivtest, used post-estimation.
In my case, two endogenous variables, the command does not work because ``Weakivtest requires one endogenous regressor.".
Should I go for one of the other statistics or is there a way to obtain Montiel-Olea Pfluger F in some other way?
