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RE: st: RE: Adj-R2 becomes too low with XTIVREG2?


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: Adj-R2 becomes too low with XTIVREG2?
Date   Wed, 25 Mar 2009 16:46:41 -0000

I am just asking for more information on behalf of those who might
answer this question.

I understand that your dataset is too big to post here, but that's all
the more reason to strain to reproduce the behaviour you report in
something mutually accessible, say one of the datasets downloadable via 

. help q_cross 

I can't see anywhere in your reply the precise commands you used. That
means a do file, or equivalent. It means exact code. It means something
reproducible. You don't need more "hints": just do what I say!

Nick 
[email protected] 

Erasmo Giambona

Thanks Nick.

It is a very large dataset, but I would still be happy to pass it to
Mark Scaffer.

In any case, I will also try to provide more details about the
commands and the data.

I am using an unbalanced panel dataset of firms over a period of about
10 years. For both xtreg and xtivreg2 I am fitting exactly the same
model. In both cases, I cluster the standard errors at the firm level
and I use fe i(firm). In the iv-model, three of the independent
variables are assumed endogenous.

I hope I have not missed anything else.

Any hints would be appreciated,

Erasmo


On Wed, Mar 25, 2009 at 5:06 PM, Nick Cox <[email protected]> wrote:
> -xtivreg2- is a user-written command from SSC (Mark Schaffer).
>
> For Mark, or anybody else, to have anything much to work with here,
tell
> us about the data and the precise commands you used.
>
> Ideally, reproduce your results on a dataset accessible to all, or let
> Mark privately have a copy of your data _and_ your commands.
>
> Otherwise there is little to go on here. It's not even clear that you
> are fitting precisely the same model, or equivalent models.
>
> More attention to age-old advice in the FAQ, often repeated on the
list,
> would have yielded a question easier to answer.
>
> Nick
> [email protected]
>
> P.S. no SHOUTING of command names please.
>
> Erasmo Giambona
>
> I am estimating the panel regression model with XTREG and XTIVREG2.
> When I use XTREG, I obtain an adj-R2 of around 0.21. The within and
> between R2's have a similar size. Similarly, when I use XTIVREG2, the
> centered and uncentered R2 are around 0.20. However, if I do: . di
> "R2-adj: " e(r2_a), I get: R2-adj: .02060245. This sems a huge drop
> compared to the centered/uncentered R2 or the adj-R2 from XTREG.
>
> I have explored the statalist archive finding a lot of very useful
> information about the nuances with the R2 with IV regressions, but I
> didn't find a good answer to my question.
>
> I would appreciate any hints on this issue.

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