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st: Adj-R2 becomes too low with XTIVREG2?


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Adj-R2 becomes too low with XTIVREG2?
Date   Wed, 25 Mar 2009 11:37:23 +0100

Dear Statalisters,

I am estimating the panel regression model with XTREG and XTIVREG2.
When I use XTREG, I obtain an adj-R2 of around 0.21. The within and
between R2's have a similar size. Similarly, when I use XTIVREG2, the
centered and uncentered R2 are around 0.20. However, if I do: . di
"R2-adj: " e(r2_a), I get: R2-adj: .02060245. This sems a huge drop
compared to the centered/uncentered R2 or the adj-R2 from XTREG.

I have explored the statalist archive finding a lot of very useful
information about the nuances with the R2 with IV regressions, but I
didn't find a good answer to my question.

I would appreciate any hints on this issue.

Regards,

Erasmo
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