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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: Shea's R2 with xtivreg2 |
Date | Sun, 3 Oct 2010 16:34:47 +0100 |
Erasmo, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Erasmo Giambona > Sent: 03 October 2010 15:32 > To: statalist > Subject: st: Shea's R2 with xtivreg2 > > Dear statalist, > > I am eastimating a model using xtivreg2 under Stata 10. I > noticed that the standard output no longer contains the > Shea's partial R2. Does anyone have any suggestion on how I > could make xtiver2 display it? Shea's partial R2 is saved in the matrix macro e(first). However, there's no good reason to use it now that Angrist & Pischke have worked out the "right" first-stage F statistic when there are multiple endogenous regressors. There is a discussion with references in the -ivreg2- help file. In a nutshell, unlike the Shea statistic, the A-P first-stage statistics have known distributions and hence are readily interpretable. Cheers, Mark > > Thanks, > > Erasmo > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/