Dear all:
I have a question on the output from an -xtivreg2-. I have no idea what
centered R2 and uncentered R2 mean. From my output below, something seems
wrong because they (R2)are negative and not within 100%. I'd greatly
appreciate any help in pointing out what went wrong and what the R2's mean.
xtivreg2 fwlever2 (fwmature2=assetmaturity3 sizesq2) tobq mat1timestobq
faratio profit size2 volatility ditc dnolcfw utilities abearning, fe robust
endog(fwmature2)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 1335 Obs per group: min =
2
avg =
7.5
max =
18
IV (2SLS) estimation
--------------------
Statistics robust to heteroskedasticity
Number of obs =
10055
F( 10, 8710) =
1.66
Prob > F =
0.0834
Total (centered) SS = 50.06018214 Centered R2 =
-40.7795
Total (uncentered) SS = 50.06018214 Uncentered R2 =
-40.7795
Residual SS = 2091.489561 Root MSE =
.4897
----------------------------------------------------------------------------
--
| Robust
fwlever2 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
fwmature2 | 2.915908 2.365878 1.23 0.218 -1.721127
7.552942
tobq | -.0927389 .0460798 -2.01 0.044 -.1830537
-.0024242
mat1timest~q | .1526628 .1317093 1.16 0.246 -.1054828
.4108084
faratio | .2151688 .1522816 1.41 0.158 -.0832977
.5136353
profit | -.3728907 .1829763 -2.04 0.042 -.7315176
-.0142638
size2 | .0143121 .0164876 0.87 0.385 -.0180031
.0466273
volatility | -.1012111 .2871649 -0.35 0.725 -.6640439
.4616217
ditc | .0355573 .0276784 1.28 0.199 -.0186913
.0898059
dnolcfw | -.0073382 .020889 -0.35 0.725 -.0482799
.0336035
abearning | .4821497 .6914696 0.70 0.486 -.8731058
1.837405
----------------------------------------------------------------------------
--
Anderson canon. corr. LR statistic (underidentification test):
1.291
Chi-sq(2) P-val =
0.5243
Test statistic(s) not robust
----------------------------------------------------------------------------
--
Cragg-Donald F statistic (weak identification test):
0.645
Stock-Yogo weak ID test critical values: 10% maximal IV size
19.93
15% maximal IV size
11.59
20% maximal IV size
8.75
25% maximal IV size
7.25
Test statistic(s) not robust
Source: Stock-Yogo (2005). Reproduced by permission.
----------------------------------------------------------------------------
--
Hansen J statistic (overidentification test of all instruments):
0.229
Chi-sq(1) P-val =
0.6325
-endog- option:
Endogeneity test of endogenous regressors:
40.445
Chi-sq(1) P-val =
0.0000
Regressors tested: fwmature2
----------------------------------------------------------------------------
--
Instrumented: fwmature2
Included instruments: tobq mat1timestobq faratio profit size2 volatility
ditc
dnolcfw abearning
Excluded instruments: assetmaturity3 sizesq2
Many thanks in advance.
Regards,
Hinh
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