I am running fixed-effect instrumental variable panel regression. The data is unbalanced panel. The cross-sectional unit is bond. I run regression in daily frequency. The variable on the left hand side is bond yield.Instead of running xtivreg, I use ivregress 2sls and manually add fixed effect terms for bonds (i.bond_id). It is because I want to use the post-estimation command "weakivtest". I cannot use "weakivtest" after xtivreg. Here is my code:
quietly ivregress 2sls y x1 i.bond_id (x3 = z), cluster (bond_id)
weakivtest
But i keep getting the following message:
invalid syntax
r(198)
Do you have any suggestion as to why this might be happening? z is instrumental variable. Thanks.
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