Thank you so much, Prof. Mark Schaffer, for helpful links. The links answer
all my questions.
Hinh
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: Friday, June 15, 2007 7:24 PM
To: [email protected]
Subject: st: RE: xtivreg2 interpretation
Hinh,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Hinh Khieu
> Sent: 15 June 2007 23:02
> To: [email protected]
> 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: [email protected]
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
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
