<p>I am transitioning to using the &quot;ivregress 2sls&quot; command in Stata for IV estimates. I've been trying to produce F-statistics to test for whether the instrument is weak. I believe that the key is, after running the following:</p>
<pre><code>ivregress 2sls haz (event12 = distanceToBorder) sex age m_age m_everschool ///
 nightLights13 UR windex5  no_hhmembers hh_head_sex i.language , vce(cluster cluster_number)

</code></pre>
<p>You then call on the estat command as follows:</p>
<pre><code> estat firststage
</code></pre>
<p>But for my estimation, this produces F-stats that are suspiciously high (like 500+). Am I missing something?</p>

CC BY-SA 4.0
2020-10-09T19:25:49.963Z
Why would F-stat > 500 be suspiciously high? That is like saying t-statistics above 10 is suspiciously high. Sure you don't see such high F-stat. or t-stat every day but in itself that is not suspicious.
1muflon1
CC BY-SA 4.0
2020-10-09T19:31:50.503Z
I suppose I was quite surprised because I didn't think my particular instrument was all that strong. Given my reservations on my instrument, I thought a high F-stat might be a sign I was doing something wrong.
Colette Salemi
CC BY-SA 4.0
2020-10-09T20:30:17.603Z
Without more information concerning the variables and their descriptions, nobody can answer this question properly. As @1muflon1 stated, this isn't suspiciously high, just strong evidence that you don't have a weak instrument. The plausibility of the instrument being valid is of interest here, and if you write up what your instrument is and your identification strategy, you might get some good answers regarding it.
Brennan
<stata><instrumental-variable>
Stata's "ivregress 2sls" command - generating F-stats to test for weak instrument
Colette Salemi
# Stata's "ivregress 2sls" command - generating F-stats to test for weak instrument

(Asked by: username_0 on 2020-10-09)

I am transitioning to using the "ivregress 2sls" command in Stata for IV estimates. I've been trying to produce F-statistics to test for whether the instrument is weak. I believe that the key is, after running the following:
ivregress 2sls haz (event12 = distanceToBorder) sex age m_age m_everschool ///
 nightLights13 UR windex5  no_hhmembers hh_head_sex i.language , vce(cluster cluster_number)


You then call on the estat command as follows:
 estat firststage

But for my estimation, this produces F-stats that are suspiciously high (like 500+). Am I missing something?

**Tags:** stata, instrumental-variable
> **Comments:**
> **username_1**: Why would F-stat > 500 be suspiciously high? That is like saying t-statistics above 10 is suspiciously high. Sure you don't see such high F-stat. or t-stat every day but in itself that is not suspicious.  
> **username_0**: I suppose I was quite surprised because I didn't think my particular instrument was all that strong. Given my reservations on my instrument, I thought a high F-stat might be a sign I was doing something wrong.  
> **username_2**: Without more information concerning the variables and their descriptions, nobody can answer this question properly. As @1muflon1 stated, this isn't suspiciously high, just strong evidence that you don't have a weak instrument. The plausibility of the instrument being valid is of interest here, and if you write up what your instrument is and your identification strategy, you might get some good answers regarding it.  

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## 0 answers

