Hello,

I am using high-dimensional ML techniques to find optimal instruments.
After using IVLASSO command, including the option idstats, I obtain the following results:

Weak identification F stats (i.i.d.):
Optimal Lasso IV(s): 0.02
Optimal Post-Lasso IV(s): 0.02
Full IV set: 6.50

Weak identification F stats (robust):
Optimal Lasso IV(s): 9.33
Optimal Post-Lasso IV(s): 9.33
Full IV set: 4384.46

What is the main difference between the Optimal Lasso and Full IV set F-stats ?
Which would be the relevant F-stat to be reported (e.g. Optimal Lasso IV) ?
Is it strange the robust option yields considerably higher F-stats, for instance when compaing the Full IV set ?

Thanks !