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Re: st: RE: Shea's R2 with xtivreg2


From   Erasmo Giambona <[email protected]>
To   [email protected]
Subject   Re: st: RE: Shea's R2 with xtivreg2
Date   Mon, 4 Oct 2010 00:12:49 +0200

Thanks very much. Very helpful. I was no aware of this new test.

Erasmo

On Sun, Oct 3, 2010 at 5:34 PM, Schaffer, Mark E <[email protected]> wrote:
> Erasmo,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] 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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>
>
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