2sls 结果如下:
R squared 很小;Partial Rsquare也很小,但通过了弱工具检验。
这样的结果怎么解释啊???为什么R方这么小呢?
Instrumental variables (2SLS) regression Number of obs = 12332
Wald chi2(17) = 2240.59
Prob > chi2 = 0.0000
R-squared = 0.0531
Root MSE = 1.9158
estat overid
Tests of overidentifying restrictions:
Sargan (score) chi2(1) = 735.545 (p = 0.0000)
Basmann chi2(1) = 780.994 (p = 0.0000)
. estat firststage
First-stage regression summary statistics
--------------------------------------------------------------------------
| Adjusted Partial
Variable | R-sq. R-sq. R-sq. F(2,12313) Prob > F
-------------+------------------------------------------------------------
lndddc_q | 0.6686 0.6681 0.0062 38.5209 0.0000
--------------------------------------------------------------------------
Minimum eigenvalue statistic = 38.5209
Critical Values # of endogenous regressors: 1
Ho: Instruments are weak # of excluded instruments: 2
---------------------------------------------------------------------
| 5% 10% 20% 30%
2SLS relative bias | (not available)
-----------------------------------+---------------------------------
| 10% 15% 20% 25%
2SLS Size of nominal 5% Wald test | 19.93 11.59 8.75 7.25
LIML Size of nominal 5% Wald test | 8.68 5.33 4.42 3.92
---------------------------------------------------------------------