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st: RE: Shea's R2 with xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Shea's R2 with xtivreg2
Date   Sun, 3 Oct 2010 16:34:47 +0100

Erasmo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Erasmo Giambona
> Sent: 03 October 2010 15:32
> To: statalist
> Subject: st: Shea's R2 with xtivreg2
> 
> Dear statalist,
> 
> I am eastimating a model using xtivreg2 under Stata 10. I 
> noticed that the standard output no longer contains the 
> Shea's partial R2. Does anyone have any suggestion on how I 
> could make xtiver2 display it?

Shea's partial R2 is saved in the matrix macro e(first).  However,
there's no good reason to use it now that Angrist & Pischke have worked
out the "right" first-stage F statistic when there are multiple
endogenous regressors.  There is a discussion with references in the
-ivreg2- help file.  In a nutshell, unlike the Shea statistic, the A-P
first-stage statistics have known distributions and hence are readily
interpretable.

Cheers,
Mark

> 
> Thanks,
> 
> Erasmo
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