F statistic for first difference IV

[Ivan Ivanov]

Hi, I am running FD IV estimation and have questions about f statistic.

My code goes:

xtset id year

ivregress 2sls d.y (d.x1=d.z1) d.xt i.year, nocons cluster(id)

My first question is whether this code is correct.
And my second question is how do I run f statistic for the first stage?

Thank you.

[Hemanshu Kumar]

The option first to the ivregress command shows you the first stage regression, including the F-statistic.

[Ivan Ivanov]

Thank you for your response. My results are 675 so, I don't know if this is appropriate?

[Sebastian Kripfganz]

The F-statistic reported in the first-stage regression output is not the "first-stage F-statistic". You would need to use the following postestimation command:

estat firststage

[Ivan Ivanov]

Thank you very much Sebastian!