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From |
"Tom Palmer" <Tom.Palmer@bristol.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Display of Shea's partial R^2 in ivreg2 output |

Date |
Sun, 28 Feb 2010 18:03:36 -0000 (GMT) |

Thank you very much Mark. I only tend to use a single endogenous variable. I ran a few examples and the AP R^2 seems to be the same as the Shea R^2 in this case. I would still be interested in seeing the AP R^2 in the output with the first/ffirst options. best regards, Tom On Fri, February 26, 2010 8:04 pm, Schaffer, Mark E wrote: > Tom, > > The answer to this is interesting because it turns out that Shea's > partial R-sq is very closely related to the R-sq that is a byproduct of > calculating the Angrist-Pischke first-stage F-stats. > > Specifically, here is how you calculate the AP partial R-sq vs. the Shea > partial R-sq: > > A-P R-sq: > > 1. Get the fitted values of the uninteresting endogenous regressors. > 2. Partial (1) out of the endogenous regressor of interest. > 3. Partial (1) out of the excluded instruments. > 4. Regress (2) on (3). > 5. R-sq is AP R-sq. > > Shea partial R-sq > > 1. Get the fitted values of the uninteresting endogenous regressors. > 2. Partial the ACTUAL uninteresting endogenous vars out of the > endogenous regressor of interest. > 3. Partial (1) out of the excluded instruments. > 4. Regress (2) on (3). > 5. R-sq is Shea R-sq. > > Below is a demonstration with the toy auto dataset. > > Because the A-P approach has a sounder theoretical foundation than the > Shea approach, we decided to drop the Shea partial R-sq from the main > output in favour of the A-P stats. > > Cheers, > Mark > > ****************************** > > sysuse auto, clear > > * AP stat > > * 1. Get the fitted values of the uninteresting endogenous regressors. > * 2. Partial (1) out of the endogenous regressor of interest. > * 3. Partial (1) out of the excluded instruments. > * 4. Regress (2) on (3). > * 5. R-sq is AP R-sq. > > qui reg weight turn trunk length displacement > capture predict double weight_hat, xb > > qui reg mpg weight_hat > capture predict double mpg_what_resid, resid > > qui reg turn weight_hat > capture predict turn_what_resid, resid > qui reg trunk weight_hat > capture predict trunk_what_resid, resid > qui reg length weight_hat > capture predict length_what_resid, resid > > reg mpg_what_resid turn_what_resid trunk_what_resid length_what_resid, > nocons dof(69) > di e(r2) > > * Shea partial R-sq > > * 1. Get the fitted values of the uninteresting endogenous regressors. > * 2. Partial the ACTUAL uninteresting endogenous vars out of the > endogenous regressor of interest. > * 3. Partial (1) out of the excluded instruments. > * 4. Regress (2) on (3). > * 5. R-sq is Shea R-sq. > > qui reg mpg weight > capture predict double mpg_wactual_resid, resid > > reg mpg_wactual_resid turn_what_resid trunk_what_resid > length_what_resid, nocons dof(69) > di e(r2) > > * Check Shea vs AP partial R-sqs from ivreg2 > > qui ivreg2 price (mpg weight = turn trunk length displacement), ffirst > mat first=e(first) > mat APr2=first["APr2",1] > mat sheapr2=first["sheapr2",1] > mat list APr2 > mat list sheapr2 > > ****************************** > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tom Palmer >> Sent: 26 February 2010 19:48 >> To: statalist@hsphsun2.harvard.edu >> Subject: st: Display of Shea's partial R^2 in ivreg2 output >> >> Dear Statalist, >> >> I put the following query to the authors of -ivreg2-. I'm >> posting it here so the answer can be shared on the list. >> >> In previous versions of -ivreg2- when specifying the -first- >> or -ffirst- options Shea's partial R^2 for the instruments >> was displayed in the output like the following: >> >> Summary results for first-stage regressions >> ------------------------------------------- >> >> Variable | Shea Partial R2 | Partial R2 | F( 1, >> 4792) P-value >> zlnfat9 | 0.0082 | 0.0082 | 39.83 >> 0.0000 >> >> >> I'm not sure when the change was made but in the latest >> version (3.0.01) the partial R^2 is no longer shown with >> these options. (I know it is still available in the returned >> -e(first)- matrix.) >> >> I find the partial R^2 very useful in comparing the strength >> of different instruments so I was wondering if it would it be >> possible reintroduce the display the partial R^2 in the >> output of future versions? (I accept typing "mat list >> e(first)" after -ivreg2- is not too onerous!) >> >> I also take this opportunity to thank you for an >> extraordinarily comprehensive command. >> >> best regards, >> >> Tom >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * 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/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: Display of Shea's partial R^2 in ivreg2 output***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: Display of Shea's partial R^2 in ivreg2 output***From:*"Tom Palmer" <Tom.Palmer@bristol.ac.uk>

**st: RE: Display of Shea's partial R^2 in ivreg2 output***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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