Hello, I am trying to apply 2SLS and obtaining a very high value for the First Stage F-Statistics (Kleibergen-Paap rk Wald F statistic: 895.431). Is there any issue with this? Additionally, what is the range of values for this statistic?
Thanks
Underidentification test (Kleibergen-Paap rk LM statistic): 7.617
Chi-sq(1) P-val = 0.0058
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Weak identification test (Cragg-Donald Wald F statistic): 1.2e+04
(Kleibergen-Paap rk Wald F statistic): 895.431
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
Thanks
Underidentification test (Kleibergen-Paap rk LM statistic): 7.617
Chi-sq(1) P-val = 0.0058
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 1.2e+04
(Kleibergen-Paap rk Wald F statistic): 895.431
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
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