Hello all,

I use a stacked first differences model to estimate the impact of globalization on unemployment in Western Europe.

• Panel data: 16 countries, yearly observations for the years 1995-2007
• 2SLS regression
• The following code shows the first-stage regression, where...
- I control for the same variables (c1, c2, c3, c4) and
- use time and country fixed effects
...just like in the reduced form / second-stage regression
Code:
xi: xtreg x z c1 c2 c3 c4 i.year, fe vce(cluster country)
The regression yields...
- estimate for the instrument z: 1.6788
- standard error of the instrument z: 0.005
Hence, the coefficient is highly significant.


To get the F-statistic, I use the following code:
Code:
test z
The F-statistic is 112125. This seems way too high? Or is it plausible to have such a high F-statistic?

If not, what could have gone wrong?

I appreciate your help!