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


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
> 
> 
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> 

-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278


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