Shawn,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Shawn Bauldry
> Sent: 20 March 2008 18:34
> To: [email protected]
> Subject: st: question re: calculation of Shea partial R2 in ivreg2
>
> I have a question about how ivreg2 calculates the Shea
> partial R2. I have a data set with 75 cases, 2 endogenous
> regressors (y1,x1), and 5 instruments (y2,y3,y4,x2,x3). When
> I run ivreg2, it reports a Shea partial R2 for y1 of 0.5606
> and for x1 of 0.7580. However, when I calculate these using
> the formula provided by Godfrey (1999) and referenced in
> Baum, Schaffer, and Stillman's (2003) - R2_p =
> (v_b1[ols]/v_b1[2sls])[(1-R2[2sls])/(1-R2[ols])] - I get
> somewhat different results.
>
> Based on the formula and maintaining 7 digits after the
> decimal for the inputs, I obtain R2_p for y1 of 0.5840 and
> for x1 of 0.7896. These aren't that far off, but I expected
> them to be closer.
-ivreg2- agrees with -ivregress-, e.g.:
. sysuse auto
(1978 Automobile Data)
. which ivreg2
c:\ado\personal\ivreg2.ado
*! ivreg2 2.2.08 15oct2007
*! authors cfb & mes
*! see end of file for version comments
. ivreg2, version
02.2.08
. qui ivreg2 price (mpg foreign = weight trunk turn length), ffirst
. mat list e(first)
e(first)[6,2]
mpg foreign
sheapr2 .10855718 .06782192
pr2 .66219852 .41371357
F 33.815496 12.172479
df 4 4
df_r 69 69
pvalue 1.307e-15 1.527e-07
.
. qui ivregress 2sls price (mpg foreign = weight trunk turn length)
. qui estat firststage
. mat list r(multiresults)
r(multiresults)[2,2]
c1 c2
r1 .10855718 .07035248
r2 .06782192 .02787143
The first row in the -ivreg2- saved matrix is identical to the first
column in the -ivregress- saved matrix.
Maybe you could show us the steps you went through to calculate the Shea
partial R-sqs?
--Mark
> Has anyone else found a similar difference or does anyone
> know why I would see this difference?
>
>
> Best,
> Shawn
>
>
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