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st: RE: Shea's R2 with xtivreg2
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Shea's R2 with xtivreg2
Date
Sun, 3 Oct 2010 16:34:47 +0100
Erasmo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] 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
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