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st: question re: calculation of Shea partial R2 in ivreg2


From   Shawn Bauldry <sbauldry@email.unc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: question re: calculation of Shea partial R2 in ivreg2
Date   Thu, 20 Mar 2008 14:34:13 -0400

I have a question about how ivreg2 calculates the Shea partial R2. I
have a data set with 75 cases, 2 endogenous regressors (y1,x1), and 5
instruments (y2,y3,y4,x2,x3). When I run ivreg2, it reports a Shea
partial R2 for y1 of 0.5606 and for x1 of 0.7580. However, when I
calculate these using the formula provided by Godfrey (1999) and
referenced in Baum, Schaffer, and Stillman's (2003) -
R2_p = (v_b1[ols]/v_b1[2sls])[(1-R2[2sls])/(1-R2[ols])] - I get somewhat different results.

Based on the formula and maintaining 7 digits after the decimal for the inputs, I obtain R2_p for y1 of 0.5840 and for x1 of 0.7896. These aren't that far off, but I expected them to be closer.

Has anyone else found a similar difference or does anyone know why I would see this difference?


Best,
Shawn


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