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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: question re: calculation of Shea partial R2 in ivreg2 |

Date |
Thu, 20 Mar 2008 19:20:04 -0000 |

Shawn, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Shawn Bauldry > Sent: 20 March 2008 18:34 > To: statalist@hsphsun2.harvard.edu > Subject: st: question re: calculation of Shea partial R2 in ivreg2 > > 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. -ivreg2- agrees with -ivregress-, e.g.: . sysuse auto (1978 Automobile Data) . which ivreg2 c:\ado\personal\ivreg2.ado *! ivreg2 2.2.08 15oct2007 *! authors cfb & mes *! see end of file for version comments . ivreg2, version 02.2.08 . qui ivreg2 price (mpg foreign = weight trunk turn length), ffirst . mat list e(first) e(first)[6,2] mpg foreign sheapr2 .10855718 .06782192 pr2 .66219852 .41371357 F 33.815496 12.172479 df 4 4 df_r 69 69 pvalue 1.307e-15 1.527e-07 . . qui ivregress 2sls price (mpg foreign = weight trunk turn length) . qui estat firststage . mat list r(multiresults) r(multiresults)[2,2] c1 c2 r1 .10855718 .07035248 r2 .06782192 .02787143 The first row in the -ivreg2- saved matrix is identical to the first column in the -ivregress- saved matrix. Maybe you could show us the steps you went through to calculate the Shea partial R-sqs? --Mark > Has anyone else found a similar difference or does anyone > know why I would see this difference? > > > Best, > Shawn > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: question re: calculation of Shea partial R2 in ivreg2***From:*Shawn Bauldry <sbauldry@email.unc.edu>

**References**:**st: question re: calculation of Shea partial R2 in ivreg2***From:*Shawn Bauldry <sbauldry@email.unc.edu>

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