I am using lasso on Stata 16 to make inference from a model with two endogenous variables (college quality and college quality squared - where college quality is measured as continuous index). I have many possible instruments, but most of them are weak (as indicated by Kleinbergen-Paap wald rk F statistic reported from variations of models estimated using ivreg2). From reading the Stata Lasso manual (and learning a bit about lasso), it seems like lasso might be a good option for me to select instruments. However, I would still like to know generally "how strong" the selected instruments are. poivregress and xpoivregress do not return the same weak identification tests as ivreg2. Can anyone help me understand how to assess instrument strength using lasso? Thank you!
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