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Re: st: Negative R-squareds using xtivreg2

From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: Negative R-squareds using xtivreg2
Date   Sun, 25 Mar 2012 13:56:47 +0200

See this:

A negative r-square is not necessarily problematic (though it is likely that the model is misspecified). You might want to use another kind of estimator for binary dependent variables.



Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Associate Editor
The Leadership Quarterly

On 25.03.2012 12:53, Nick Cox wrote:
> Away from plain or vanilla regression, there are numerous different
> definitions of R-squared that need not give the same numeric answer.
> The help documents the flavo[u]rs reported and their different
> definitions. R-sq < 0 usually implies a lousy model in some sense;
> such results rarely make it to the literature.
> If your dependent variable is binary, it is not clear why you think
> this is a good command to use.
> Nick
> 2012/3/25 Rüdiger Vollmeier <[email protected]>:
>> I am running an IV regression accounting for country fixed effects
>> using the -xtivreg2- command. Stata reports R-squares. However, they
>> are surprisingly negative(!). Does anybody know why this is the
>> case?!?
>> Should they be adjusted somehow? Is the fact that my dependent
>> variable is binary problematic?
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