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Re: st: Q on reg3 output for model fit
From
Jason R Franken <[email protected]>
To
[email protected]
Subject
Re: st: Q on reg3 output for model fit
Date
Sun, 10 Feb 2013 10:58:29 -0600 (CST)
The chi-square statistic I'm talking about is posted to the right of R-square in 3SLS output from reg3 (or an F-statistic in the 2SLS version). I'm in doubt that it is the identification statistic described in the prior response to this post, since it is significant in text book examples with positive R-square at: http://www.ats.ucla.edu/stat/stata/examples/greene/greene16.htm.
I thought this chi-square statistic is for the test of whether the model is no better better predictor of the dependent variable than its mean, but the negative R-squares I observe can occur when "ybar is a better predictor of y (in the sum-of-squares sense) than Xb" according to http://www.stata.com/support/faqs/statistics/two-stage-least-squares/. Hence, I shouldn't see a negative r-square when the chi-square test statistic rejects the null that ybar is as good as my model.
I'm not sure what the chi-square statistic is testing ...
Thanks again.
Jason
----- Original Message -----
From: "John Antonakis" <[email protected]>
To: [email protected]
Sent: Sunday, February 10, 2013 2:26:58 AM
Subject: Re: st: Q on reg3 output for model fit
I would worry more about the chi-square statistic of fit (i.e.,
overidentification statistic, which is what I assume you are talking
about). If that is significant, the model is misspecified and an
unlikely candidate to have generated the data. So, I would rethink the
model.
Best,
J.
__________________________________________
John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management
Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis
Associate Editor
The Leadership Quarterly
__________________________________________
On 10.02.2013 07:17, Jason R Franken wrote:
> I'm running 3SLS using reg3 and get negative R-square (consistent with the explanation at http://www.stata.com/support/faqs/statistics/two-stage-least-squares/). As I understand, this can happen when the mean of the dependent variable is a better predictor than the model. However, the p-values of the chi-square statistic are significant. What if anything can I determine about model fit from the R-square and chi-square statistics in the output of reg3?
>
> Thank you in advance for any insight you can provide.
>
> Jason Franken
>
>
> Jason Franken
> Assistant Professor
> School of Agriculture
> Western Illinois University
>
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