Hi,

I am running an xtivewg2 command using some instrumental variables. I would like to reconfirm my interpretation of the post estimationn results:

1. Underidentification test (Anderson canon. corr. LM statistic): 58.187 (not significant)
My interpretation - Not underidentified
2. Weak identification test (Cragg-Donald Wald F statistic): 31.074 (ie. >10 and greater than all critical values)
My interpretation - the IVs are not weak
3. Sargan statistic (overidentification test of all instruments): 0.168 (significant)
My interpretation - The IVs are not overidentified
4. Endogeneity test of endogenous regressors: 5.340 (not significant)
My interpretation - the original regressor was endogenous

Please could you confirm my understanding? Thank you. I am pasting my code and results below:

Code:
. xtivreg2 Ln_EBIT_ROA Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets CoAge wGDPpc wCPI wDCF wEx
> pgr wGDPgr wCons Ln_PS_RD (l1.Ln_GSD= l1.Ln_Indgrp_GSD_by_Year Ln_Int_exp) if CoAge>=0 & NATION
> =="UNITED STATES" & NATIONCODE==840 & FSTS>=10 & GENERALINDUSTRYCLASSIFICATION ==1 & Year_<2020
>  & Year_<YearInactive & Discr_GS_Rev!=1, fe endog (l1.Ln_GSD)
Warning - singleton groups detected.  38 observation(s) not used.

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       148                    Obs per group: min =         2
                                                               avg =       5.9
                                                               max =        17

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs =      870
                                                      F( 12,   710) =     5.52
                                                      Prob > F      =   0.0000
Total (centered) SS     =  244.9738206                Centered R2   =   0.0214
Total (uncentered) SS   =  244.9738206                Uncentered R2 =   0.0214
Residual SS             =  239.7376195                Root MSE      =    .5762

--------------------------------------------------------------------------------------
         Ln_EBIT_ROA |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
---------------------+----------------------------------------------------------------
              Ln_GSD |
                 L1. |  -.9935445   .3096328    -3.21   0.001    -1.600414   -.3866754
                     |
          Ln_Revenue |   .5378527   .1230928     4.37   0.000     .2965952    .7791102
     Ln_LTD_to_Sales |   -.150372   .0329924    -4.56   0.000     -.215036    -.085708
Ln_Intangible_Assets |  -.0759861    .041742    -1.82   0.069     -.157799    .0058268
               CoAge |  -.0324018   .0131353    -2.47   0.014    -.0581464   -.0066571
              wGDPpc |   .0000709   .0000283     2.51   0.012     .0000155    .0001262
                wCPI |  -.0039334   .0267595    -0.15   0.883     -.056381    .0485143
                wDCF |   5.37e-14   1.50e-13     0.36   0.720    -2.40e-13    3.48e-13
              wExpgr |   .0117982   .0109984     1.07   0.283    -.0097582    .0333547
              wGDPgr |  -.0239097   .0322334    -0.74   0.458    -.0870861    .0392666
               wCons |   1.56e-14   5.61e-14     0.28   0.782    -9.45e-14    1.26e-13
            Ln_PS_RD |  -.0379416   .0657001    -0.58   0.564    -.1667114    .0908283
--------------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic):          58.187
                                                   Chi-sq(2) P-val =    0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):               31.074
Stock-Yogo weak ID test critical values: 10% maximal IV size             19.93
                                         15% maximal IV size             11.59
                                         20% maximal IV size              8.75
                                         25% maximal IV size              7.25
Source: Stock-Yogo (2005).  Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):           0.168
                                                   Chi-sq(1) P-val =    0.6822
-endog- option:
Endogeneity test of endogenous regressors:                               5.340
                                                   Chi-sq(1) P-val =    0.0208
Regressors tested:    L.Ln_GSD
------------------------------------------------------------------------------
Instrumented:         L.Ln_GSD
Included instruments: Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets CoAge
                      wGDPpc wCPI wDCF wExpgr wGDPgr wCons Ln_PS_RD
Excluded instruments: L.Ln_Indgrp_GSD_by_Year Ln_Int_exp
------------------------------------------------------------------------------