Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Missing R-squared from IV regression

    Question: How can I display/find the missing "within R-squared" from an IV regression?

    Example of the problem:

    Suppose I use the following dataset provided by Stata:

    Code:
    use http://www.stata-press.com/data/r13/nlswork

    And I run the following IV regression:

    Code:
    xtivreg ln_w age c.age#c.age not_smsa (tenure = union south), fe

    I get the following result:
    Code:
    . xtivreg ln_w age c.age#c.age not_smsa (tenure = union south), fe
    
    Fixed-effects (within) IV regression            Number of obs     =     19,007
    Group variable: idcode                          Number of groups  =      4,134
    
    R-sq:                                           Obs per group:
         within  =      .                                         min =          1
         between = 0.1304                                         avg =        4.6
         overall = 0.0897                                         max =         12
    
                                                    Wald chi2(4)      =  147926.58
    corr(u_i, Xb)  = -0.6843                        Prob > chi2       =     0.0000
    
    ------------------------------------------------------------------------------
         ln_wage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
    -------------+----------------------------------------------------------------
          tenure |   .2403531   .0373419     6.44   0.000     .1671643    .3135419
             age |   .0118437   .0090032     1.32   0.188    -.0058023    .0294897
                 |
     c.age#c.age |  -.0012145   .0001968    -6.17   0.000    -.0016003   -.0008286
                 |
        not_smsa |  -.0167178   .0339236    -0.49   0.622    -.0832069    .0497713
           _cons |   1.678287   .1626657    10.32   0.000     1.359468    1.997106
    -------------+----------------------------------------------------------------
         sigma_u |  .70661941
         sigma_e |  .63029359
             rho |  .55690561   (fraction of variance due to u_i)
    ------------------------------------------------------------------------------
    F  test that all u_i=0:     F(4133,14869) =     1.44      Prob > F    = 0.0000
    ------------------------------------------------------------------------------
    Instrumented:   tenure
    Instruments:    age c.age#c.age not_smsa union south
    ------------------------------------------------------------------------------

    Thanks!

  • #2
    Jere:
    see. https://www.stata.com/statalist/arch.../msg00081.html
    Kind regards,
    Carlo
    (Stata 19.0)

    Comment


    • #3
      Thanks, Carlo!
      I was aware of this article but still I wanted to find a way to display the result.
      Thanks again for your response!

      Comment

      Working...
      X