Dear all,

Can I interpret the following output as the instruments are not valid by looking at the Sanderson-Windmeijer multivariate F test.
How can I proceed if I cannot find a better instrument?
Thank you,
Nazlı

xi: xtivreg2 `t' (`z'=instrument_p) i.year i.ccode , fe first cluster (ccode)
outreg2 using CIFCIILII.xls, ctitle(`y', K-INTENSİVE in CII) keep( `z' ) e(N N_g F r2_a r2u r2c widstat j idstat idp cdf rkf arf arfp archi2 archi2p sstat sstatp)


panel variable: id (unbalanced)
time variable: year, 2006 to 2015, but with gaps
delta: 1 unit
i.year _Iyear_2006-2015 (naturally coded; _Iyear_2006 omitted)
i.ccode _Iccode_1-81 (naturally coded; _Iccode_1 omitted)
Warning - singleton groups detected. 3352 observation(s) not used.
Warning - collinearities detected
Vars dropped: _Iccode_2

FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 2127 Obs per group: min = 2
avg = 3.1
max = 10
Warning - collinearities detected
Vars dropped: _Iccode_2 _

First-stage regressions
-----------------------


FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 2127 Obs per group: min = 2
avg = 3.1
max = 10

First-stage regression of im_den_city:

Statistics robust to heteroskedasticity and clustering on ccode
Number of obs = 6511
Number of clusters (ccode) = 77
------------------------------------------------------------------------------
| Robust
im_den_city | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
instrument_p | 1.647439 1.957921 0.84 0.400 -2.191079 5.485957
_Iyear_2007 | -.0215135 .0236983 -0.91 0.364 -.0679742 .0249473
_Iyear_2008 | -.0230585 .0272326 -0.85 0.397 -.0764481 .0303312
_Iyear_2009 | -.059271 .0584188 -1.01 0.310 -.1738014 .0552595
_Iyear_2010 | .055957 .1071557 0.52 0.602 -.1541224 .2660365
_Iyear_2011 | -.0242156 .059115 -0.41 0.682 -.140111 .0916798
_Iyear_2012 | .0617291 .1225663 0.50 0.615 -.1785628 .3020211
_Iyear_2013 | .3920116 .1453562 2.70 0.007 .1070398 .6769834
_Iyear_2014 | .8483978 .2831119 3.00 0.003 .293355 1.40344
_Iyear_2015 | 1.747242 .4438663 3.94 0.000 .8770397 2.617445
_Iccode_2 | 0 (omitted)
_Iccode_81 | 0 (omitted)
------------------------------------------------------------------------------
F test of excluded instruments:
F( 1, 76) = 0.71
Prob > F = 0.4028
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 76) = 0.71
Prob > F = 0.4028



Summary results for first-stage regressions
-------------------------------------------

(Underid) (Weak id)
Variable | F( 1, 76) P-val | SW Chi-sq( 1) P-val | SW F( 1, 76)
im_den_city | 0.71 0.4028 | 0.72 0.3967 | 0.71

NB: first-stage test statistics cluster-robust

Stock-Yogo weak ID F test critical values for single endogenous regressor:
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 i.i.d. errors only.

Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(1)=0.67 P-val=0.4143

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 128.68
Kleibergen-Paap Wald rk F statistic 0.71

Stock-Yogo weak ID test critical values for K1=1 and L1=1:
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.

Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(1,76)= 7.22 P-val=0.0089
Anderson-Rubin Wald test Chi-sq(1)= 7.32 P-val=0.0068
Stock-Wright LM S statistic Chi-sq(1)= 6.24 P-val=0.0125

NB: Underidentification, weak identification and weak-identification-robust
test statistics cluster-robust

Number of clusters N_clust = 77
Number of observations N = 6511
Number of regressors K = 10
Number of endogenous regressors K1 = 1
Number of instruments L = 10
Number of excluded instruments L1 = 1

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

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on ccode

Number of clusters (ccode) = 77 Number of obs = 6511
F( 10, 76) = 2.95
Prob > F = 0.0035
Total (centered) SS = 207489.9952 Centered R2 = -0.0955
Total (uncentered) SS = 207489.9952 Uncentered R2 = -0.0955
Residual SS = 227309.2738 Root MSE = 7.201

------------------------------------------------------------------------------
| Robust
reldsales_c | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
im_den_city | -1.823125 2.236623 -0.82 0.415 -6.206826 2.560575
_Iyear_2007 | -.1671247 .3489624 -0.48 0.632 -.8510783 .516829
_Iyear_2008 | -.3170098 .4293094 -0.74 0.460 -1.158441 .5244212
_Iyear_2009 | -.4779769 .5637315 -0.85 0.397 -1.58287 .6269166
_Iyear_2010 | -1.195521 .5330187 -2.24 0.025 -2.240219 -.1508239
_Iyear_2011 | -1.827432 .6027818 -3.03 0.002 -3.008863 -.6460016
_Iyear_2012 | -2.739736 .7133271 -3.84 0.000 -4.137832 -1.341641
_Iyear_2013 | -2.736951 1.133316 -2.41 0.016 -4.95821 -.515692
_Iyear_2014 | -.9507677 2.409706 -0.39 0.693 -5.673705 3.772169
_Iyear_2015 | 1.109389 4.590752 0.24 0.809 -7.888319 10.1071
_Iccode_2 | 0 (omitted)

------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 0.666
Chi-sq(1) P-val = 0.4143
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 128.676
(Kleibergen-Paap rk Wald F statistic): 0.708
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.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: im_den_city
Included instruments: _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010
_Iyear_2011 _Iyear_2012 _Iyear_2013 _Iyear_2014
_Iyear_2015
Excluded instruments: instrument_p
Dropped collinear: _Iccode_2 _Iccode_3 _Iccode_4 _Iccode_5 _Iccode_6
_Iccode_7 _Iccode_8 _Iccode_9 _Iccode_10 _Iccode_11
_Iccode_12 _Iccode_13 _Iccode_14 _Iccode_15 _Iccode_16
_Iccode_17 _Iccode_18 _Iccode_19 _Iccode_20 _Iccode_21
_Iccode_22 _Iccode_23 _Iccode_24 _Iccode_25 _Iccode_26
_Iccode_27 _Iccode_28 _Iccode_29 _Iccode_30 _Iccode_31
_Iccode_32 _Iccode_33 _Iccode_34 _Iccode_35 _Iccode_36
_Iccode_37 _Iccode_38 _Iccode_39 _Iccode_40 _Iccode_41
_Iccode_42 _Iccode_43 _Iccode_44 _Iccode_45 _Iccode_46
_Iccode_47 _Iccode_48 _Iccode_49 _Iccode_50 _Iccode_51
_Iccode_52 _Iccode_53 _Iccode_54 _Iccode_55 _Iccode_56
_Iccode_57 _Iccode_58 _Iccode_59 _Iccode_60 _Iccode_61
_Iccode_62 _Iccode_63 _Iccode_64 _Iccode_65 _Iccode_66
_Iccode_67 _Iccode_68 _Iccode_69 _Iccode_70 _Iccode_71
_Iccode_72 _Iccode_73 _Iccode_74 _Iccode_75 _Iccode_76
_Iccode_77 _Iccode_78 _Iccode_79 _Iccode_80 _Iccode_81
------------------------------------------------------------------------------