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Re: st: RE: Adj-R2 becomes too low with XTIVREG2?


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Adj-R2 becomes too low with XTIVREG2?
Date   Wed, 25 Mar 2009 17:34:06 +0100

Thanks Nick.

It is a very large dataset, but I would still be happy to pass it to
Mark Scaffer.

In any case, I will also try to provide more details about the
commands and the data.

I am using an unbalanced panel dataset of firms over a period of about
10 years. For both xtreg and xtivreg2 I am fitting exactly the same
model. In both cases, I cluster the standard errors at the firm level
and I use fe i(firm). In the iv-model, three of the independent
variables are assumed endogenous.

I hope I have not missed anything else.

Any hints would be appreciated,

Erasmo


On Wed, Mar 25, 2009 at 5:06 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> -xtivreg2- is a user-written command from SSC (Mark Schaffer).
>
> For Mark, or anybody else, to have anything much to work with here, tell
> us about the data and the precise commands you used.
>
> Ideally, reproduce your results on a dataset accessible to all, or let
> Mark privately have a copy of your data _and_ your commands.
>
> Otherwise there is little to go on here. It's not even clear that you
> are fitting precisely the same model, or equivalent models.
>
> More attention to age-old advice in the FAQ, often repeated on the list,
> would have yielded a question easier to answer.
>
> Nick
> n.j.cox@durham.ac.uk
>
> P.S. no SHOUTING of command names please.
>
> Erasmo Giambona
>
> 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.
>
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