$R^2$ 在 2SLS 中是意义不大的（不尽然介于 0, 1 之间），所以一般都不 report 该数值。

好的谢谢！

我来补充一下这个问题~

For two-stage least squares, some of the regressors enter the model as instruments when the parameters are estimated. However, since our goal is to estimate the structural model, the actual values, not the instruments for the endogenous right-hand-side variables, are used to determine the model sum of squares (MSS). The model’s residuals are computed over a set of regressors different from those used to fit the model. This means a constant-only model of the dependent variable is not nested within the two-stage least-squares model, even though the two-stage model estimates an intercept, and the residual sum of squares (RSS) is no longer constrained to be smaller than the total sum of squares (TSS). When RSS exceeds TSS, the MSS and the R2 will be negative.

更详细的讲解参考http://www.stata.com/support/faqs/statistics/two-stage-least-squares/

你好，您用的是ivregress命令吗，我现在也遇到这个问题。
同时我还有点疑惑：
1.控制变量需要都加吗？
2.第一阶段和第二阶段的控制变量是否需要一致？因为看到一些文章（任胜钢等，2019），第一阶段的控制变量是“否”，第二阶段的控制变量是“是”，照理说用ivregress命令做出来的结果，两个阶段的控制变量都是一样的
3.时间效应和地区效应的虚拟变量，需要把所有的虚拟变量都加入吗，还是可以只加部分dummy？
谢谢！

学习了，谢谢楼主分享