instrument variable: 2sls. Missing R square

[Irfan Ali]

Hello!

I want to run 2sls for my model but i cannot get the R-square value (its missing). While going through the help ivregress I found it out that it might be because MSS of the model could be negative. Since my instrument variable (change in population) contain negative numerical data it could be the possible reason (i am not sure, iam still a very beginner).Similary, other variables also contains negative values due to the nature of the data.

Here is what i put into the stata
"vregress 2sls CASH_w var1 var2 var3 var4 var5 var6 (WOMENRATIO = change_popul)"

Brief Output:
[trumental variables (2SLS) regression Number of obs = 240
Wald chi2(10) = 0.78
Prob > chi2 = 0.9999
R-squared = .
Root MSE = 1.1414

Instrumented: WOMENRATIO
Instruments: CASHFLOW_w CAPX_w TANGIBILITY_w LEVERAGE_w Z_SCORE DEBTISSUE
NWC_w SIZE_w EFFECTIVE_TAX change_pop]


What could be the possible way out to deal with it?

Thanks in advance.

Irfan

ps. I checked MS and it is negative with the value of -311

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Obviously, what you claim to have "put into Stata" (note capital on S) was not what you submitted since what you posted would not run. It would be much easier to understand what you have if you followed the guidelines. For example, I'd have been interested in seeing the full results.

Negative numbers in the data have nothing to do with your problem whatsoever. The prob>chi2 does suggest that your model explains almost nothing whatsoever. See
https://www.stata.com/support/faqs/s...least-squares/

Basically, your model does not explain the dv. While sometimes you could have precise parameter estimates and negative r-square, in your case you have no significance on the parameters and negative explained variance. Find a better model. [You might also check the data for errors.]

[River Huang]

In general, R^2 has no sensible meaning in 2SLS.

[Michael Schuster]

River Huang Could you perhaps elaborate a little on why this is so?

[Itesh New]

Michael Schuster Please refer page number 9 of the following link http://fmwww.bc.edu/EC-C/F2012/228/EC228.f2012.nn15.pdf