两阶段最小二乘法可以忽略可决系数的分析
What does it mean when RSS is greater than TSS? Does this mean our parameter estimates are no good? Not really. You can easily develop simulations where the parameter estimates from two-stage are quite good while the MSS is negative. Remember why we fit two-stage models. We are interested in the parameters of the structural equation—the elasticity of demand, the marginal propensity to consume, etc. If our two-stage model produces estimates of these parameters with acceptable standard errors, we should be happy—regardless of MSS or R2. If we were interested strictly in projections of the dependent variable, we should probably consider the reduced form of the model.

两阶段最小二乘法可以忽略可决系数的分析
What does it mean when RSS is greater than TSS? Does this mean our parameter estimates are no good? Not really. You can easily develop simulations where the parameter estimates from two-stage are quite good while the MSS is negative. Remember why we fit two-stage models. We are interested in the parameters of the structural equation—the elasticity of demand, the marginal propensity to consume, etc. If our two-stage model produces estimates of these parameters with acceptable standard errors, we should be happy—regardless of MSS or R2. If we were interested strictly in projections of the dependent variable, we should probably consider the reduced form of the model.