Dear all,
I am running the following xtivreg2 code and cluster standard error on the facility level
xtivreg2 dep_var indep_var con_var year_dum* (endo_var = iv_var), fe cl(prov_id)
The outcome reports
Weak identification test (Cragg-Donald Wald F statistic): 2.8e+04
(Kleibergen-Paap rk Wald F statistic): 1127.276
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
The Kleibergen-Paap rk Wald F statistic is over 1000. Is it large to be true? I saw some people say that more than 10 is good enough. I am not sure why mine is that large? Is it possible that I have too many facilities and include too many fixed effect , I have more than 14000.
Thanks a lot!
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