Ivregress performing F test in the first stage

[Jad Tamimi]

Hello,

I'd like to perform an F test on two parameters in the first stage regression. But I'm not sure where the first stage parameters are stored, here is my code:

ivregress 2sls IR Donationstorevenue Sin_Dummy (Sin_don= Sin_ind_avg ///
>         Sin_ind_avg2) $controls, cluster(company_id) first

I want to perform an f test on the two instrument variables in the first stage (Sin_ind_avg = 0 & Sin_ind_avg2=0) , how can I implement this?

Thanks,
Jad

[George Ford]

With "first" included, it will show you the first stage regression. Just run that model and you can test whatever you like.

or after ivregress,

reg `d(endog)' `e(exog)'

[Jad Tamimi]

I see, my problem was that I manually ran the regression in the first stage, I was getting the same estimates as in first stage from the IV regress command but my standard errors were different. I experimented with a few standard error options and that solved my issue. (I should use the same error options as the ivregress command for the second stage regression i.e , cluster(company_id) )