用IV做2sls回归，第二阶段为什么没有R方

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收藏 2014-02-09

求助各位了，我用IV做2sls回归，第二阶段为什么没有R方呢？显示为“.”
如图，我的命令类型是ivregress 2sls y x1 (x2 =z1 z2) ,r cluster(stock) first。我把r cluster(stock) 去掉也还是没有。

Instrumental variables (2SLS) regression             Number of obs = 7780
                                                   Wald chi2(41) =  174.15
                                                   Prob > chi2 =  0.0000
                                                   R-squared    =    .
                                                   Root MSE    =  .16804

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jjjj6666

2014-2-10 03:04:19

for 2sls, the R2 may not be a meaningful statistic to look, in your case, the R2 may well be negative, so stata suppress it. As long as the model parameter and their SEs make sense, the results may be ok.