我今天练习两阶段最小二乘法估计,使用的命令是: ivregress 2sls e3 ( inv0= l1. cash11 l1.size l1.lev l1.growth l1. return1 ),vce(robust)
显示的结果是:Instrumental variables (2SLS) regression Number of obs = 2739
Wald chi2(1) = 30.52
Prob > chi2 = 0.0000
R-squared = .
Root MSE = .87682
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| Robust
e3 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
inv0 | 4.136586 .7488208 5.52 0.000 2.668925 5.604248
_cons | -.2951615 .0547182 -5.39 0.000 -.4024073 -.1879157
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Instrumented: inv0
Instruments: cash11 L.size L.lev L.growth return1
为什么R方那里没有值?
而且一般2sls进行回归时,第一阶段的R方达到多少比较好?
谢谢