Hello,

I am doing an estimation which involves running a IV regression with 7 endogenous variables and 8 instruments. I am using the Stata command xtivreg2 and it reports a Kleibergen-Paap Wald rk F statistic equal to 8.65. I would like to compare this value to the Stock-Yogo weak ID test critical values for 7 endogenous variables (K=7) and 8 instruments (L=8). However, such value is not reported by Stata, which, instead only provides the F test critical values for single endogenous regressor.

I would like to ask you whether Stata has a way of providing the Stock-Yogo critical values for 7 endogenous variables and 8 instruments for the different level of bias as well.

Thank you in advance for any help and suggestion