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I need to run an IV

1) How to decide whether to use TSLS or GMM?

2) For GMM, I note that it doesn't have F-stat. So how do I tell whether the instrument is strong?

3) For both TSLS and GMM, how do I tell the instrument is exogenous?

Thank you

TSLS is a special case of GMM

And you generally need to use economic theory to tell if an instrument is exogenous

Hi

Thank you for the replies.

I still don't understand.
1) When should I use GMM vs TSLS? Anywhere that I can read up more about this

2) For GMM, there is no F-stat. So how do I tell if the instrument is weak? Usually, a F-stat<10 implies weak instrument

Thank you

Hi

1) I still don't understand how to decide between TSLS & GMM.

Ans:
2) Ok, I found out for GMM (non-panel data), the F-stat can be found at View --> IV Diagnostics and Tests

Query:
1) GMM / DPD - Generalized Method of Moments / Dynamic Panel Data:

i) How do I find the p-value for the J-stat?
ii) How do I find the F-stat?

2) For a panel data, using TSLS

i) how do I find the J-stat and its probability?

Thank you

If the model is linear in the parameters and you think the errors are iid, then use 2sls. Otherwise GMM might be better.

You should not necessarilyrely on F>10 as a test for weak instruments if you have more than 1 endogenous variable.