twostepweakiv - confidence set not computed

[Silvia Pianta]

Hi everyone!

I am trying to use the twostepweakiv command in Stata to get weak-iv robust confidence intervals for an IV model with two endogenous regressors and two instrumental variables.

I am struggling to interpret the output of the twostepweakiv command.

For one endogenous regressor, the output does not report the upper and lower bound of the confidence interval. Only the lower bound is reported, while the upper bound is reported as "...".

For the second endogenous regressor, instead of the upper and lower bound of the confidence interval, the expression "entire grid" appears.

Projection-based inference:
Variable: bigfrp25_l7d

   Test    Conf. level     Confidence Set        
-----------------------------------------------------------------------
LC_2sls        95%         [ .000322,   ...  ]  
-----------------------------------------------------------------------
   Wald        95%         [ .000505, .001971]  
-----------------------------------------------------------------------
Wald confidence set for the parameter of interest is based on 2sls point estimate and its
standard error, rather than grid search.
LC test gamma_min is 5%; distortion cutoff is 11% based on the given grid, obtained by 10^6
simulation draws.

Variable: bigfrp25_l7dfarm

   Test    Conf. level     Confidence Set        
-----------------------------------------------------------------------
LC_2sls        95%         entire grid          
-----------------------------------------------------------------------
   Wald        95%         [-.004249, -.00065]  
-----------------------------------------------------------------------
Wald confidence set for the parameter of interest is based on 2sls point estimate and its
standard error, rather than grid search.
LC test gamma_min is 5%; distortion cutoff is 10% based on the given grid, obtained by 10^6
simulation draws.

The command produced a full confidence set in other specifications using different endogenous regressors.
I tried to specify different values using the gridpoints() option, but the output does not seem to change.

Any help with the interpretation of this output and suggestion on how to get the command to produce a full confidence set would be extremely welcome.

Thanks a lot in advance!