st: RE: xtivreg2 interpretation

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Hinh,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hinh Khieu
> Sent: 15 June 2007 23:02
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtivreg2 interpretation
> 
> 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. 

A google on "negative r2 iv" and "I'm feeling lucky" will take you to a
Stata FAQ:

http://www.stata.com/support/faqs/stat/2sls.html

Another google on "centered uncentered r2" and "I'm feeling lucky" will
take you to

http://www.stata.com/statalist/archive/2004-03/msg01078.html

which is the same r-sq question asked on the list back in 2004, the
answer to which was

http://www.stata.com/statalist/archive/2004-03/msg01121.html

Google and Ye Shall Find.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

> 
> 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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