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Re: st: Q on reg3 output for model fit


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Q on reg3 output for model fit
Date   Sun, 10 Feb 2013 09:26:58 +0100

I would worry more about the chi-square statistic of fit (i.e., overidentification statistic, which is what I assume you are talking about). If that is significant, the model is misspecified and an unlikely candidate to have generated the data. So, I would rethink the model.

Best,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 10.02.2013 07:17, Jason R Franken wrote:
I'm running 3SLS using reg3 and get negative R-square (consistent with the explanation at http://www.stata.com/support/faqs/statistics/two-stage-least-squares/).  As I understand, this can happen when the mean of the dependent variable is a better predictor than the model.  However, the p-values of the chi-square statistic are significant.  What if anything can I determine about model fit from the R-square and chi-square statistics in the output of reg3?

Thank you in advance for any insight you can provide.

Jason Franken


Jason Franken
Assistant Professor
School of Agriculture
Western Illinois University

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