Dear all,

I am running an xtabond2 model and I wanted to see whether the instruments are weak.

For example, we could use the examples of the help list that produce the same result by using xtabond2 and ivreg2.
We could see that the Weak identification test (Cragg-Donald Wald F statistic) shows: "12.967" from the ivreg2 results

How could I find the same statistic (or any other weak IV test statistics) after running xtabond2? I can find no such statistics in the return list.

Thank you so much for the help,
Alex


. ivreg2 n cap (w = k ys rec) [pw=_n], cluster(id year) orthog(rec)
(sum of wgt is 5.3200e+05)

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

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

Number of clusters (id) = 140 Number of obs = 1031
Number of clusters (year) = 9 F( 2, 8) = 5.46
Prob > F = 0.0320
Total (centered) SS = 1814.255388 Centered R2 = -0.7793
Total (uncentered) SS = 2579.501789 Uncentered R2 = -0.2515
Residual SS = 3228.188635 Root MSE = 1.769

------------------------------------------------------------------------------
| Robust
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | 4.685126 2.751587 1.70 0.089 -.7078855 10.07814
cap | .0918093 .0459613 2.00 0.046 .0017268 .1818918
_cons | -13.97191 8.653087 -1.61 0.106 -30.93165 2.987827
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 3.033
Chi-sq(3) P-val = 0.3866
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 12.967
(Kleibergen-Paap rk Wald F statistic): 1.445
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91
10% maximal IV relative bias 9.08
20% maximal IV relative bias 6.46
30% maximal IV relative bias 5.39
10% maximal IV size 22.30
15% maximal IV size 12.83
20% maximal IV size 9.54
25% maximal IV size 7.80
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): 6.099
Chi-sq(2) P-val = 0.0474
-orthog- option:
Hansen J statistic (eqn. excluding suspect orthog. conditions): 5.174
Chi-sq(1) P-val = 0.0229
C statistic (exogeneity/orthogonality of suspect instruments): 0.924
Chi-sq(1) P-val = 0.3363
Instruments tested: rec
------------------------------------------------------------------------------
Instrumented: w
Included instruments: cap
Excluded instruments: k ys rec
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
. xtabond2 n w cap [pw=_n], iv(cap k ys, eq(level)) iv(rec, eq(level)) cluster(
> id year) h(1)
Favoring speed over space. To switch, type or click on mata: mata set matafavor
> space, perm.
(sum of weights is 531996)

Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 1031
Time variable : year Number of groups = 140
Number of instruments = 5 Obs per group: min = 7
Wald chi2(.) = 58.07 avg = 7.36
Prob > chi2 = . max = 9
(Std. Err. adjusted for clustering on id year)
------------------------------------------------------------------------------
| Robust
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w | 4.685126 2.751587 1.70 0.089 -.7078855 10.07814
cap | .0918093 .0459613 2.00 0.046 .0017268 .1818918
_cons | -13.97191 8.653087 -1.61 0.106 -30.93165 2.987827
------------------------------------------------------------------------------
Instruments for levels equation
Standard
rec
cap k ys
_cons
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -0.77 Pr > z = 0.443
Arellano-Bond test for AR(2) in first differences: z = -0.30 Pr > z = 0.763
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(2) = 265.93 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(2) = 6.10 Prob > chi2 = 0.047
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(rec, eq(level))
Hansen test excluding group: chi2(1) = 5.17 Prob > chi2 = 0.023
Difference (null H = exogenous): chi2(1) = 0.92 Prob > chi2 = 0.336