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I'm running 2sls and making sure that my results replicate in both stata and r. In r, using felm, my code is:

a1 <- felm(y ~ 0|year + id | (x ~ z1 +  z2 + z3)|cluster, data = db)
    summary(a1$stage1)

In STATA, using ivreghdfe, my code is: ivreghdfe y (x = z1 z2 z3), absorb(id year) cluster(cluster) first

The coefficients and standard errors generated by the code look the same in both approaches, but the two commands give me different F statistics, even while assuming the same degrees of freedom. ivreghdfe provides much more detail on which F statistics are being calculated and provides a number of ways to test instrument strength, but none of them correspond to the F statistic reported by R (neither the "projected model" or "full model"). My question is twofold: What test does the FELM F Statistic correspond to, and why does it differ from the statistics reported by STATA?

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  • $\begingroup$ You might add the cmethod = 'reghdfe' option to the felm. $\endgroup$ – Dimitriy V. Masterov Aug 28 '20 at 20:16
  • $\begingroup$ Also, make sure that you have the latest version of both commands. $\endgroup$ – Dimitriy V. Masterov Aug 28 '20 at 20:24

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