On Fri, 17 Feb 2023, maisiedarby7(a)gmail.com wrote: The tsls command takes care of applying robust inference whenever necessary: the following script exemplifies what happens (although the data are not time series here, but it should be irrelevant). Note that the F statistic you get with tsls as the "Weak instrument test" is identical to what you get with the "omit" command below. <hansl> open mroz87.gdt logs WW list X = const WE WA AX list Z = const WMED WFED WA AX smpl WW > 0 --restrict tsls l_WW X ; Z --robust # 1st stage "by hand" list Excluded_Inst = Z - X ols WE Z --robust omit Excluded_Inst --quiet </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------