The short answer
MissingR2s, negativeR2s, and negative model sum of squares are all the same issue.
Stata’sivregresscommand suppresses the printing of anR2on 2SLS/IV if theR2is negative, which is to say, if the model sum of squares is negative.
Whether a negativeR2should be reported or simply suppressed is a matter of taste. At any rate, theR2really has no statistical meaning in the context of 2SLS/IV.
If it makes you feel better, you can compute theR2yourself from the returned results (seeAn examplesection of the FAQ).
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 isnotnested 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 theR2will be negative.
摘自：https://www.douban.com/group/topic/146072497/
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