Hello everyone,
I want to report the R-squared and the overall F-test in my regression table.
I use the command xtivreg, fe, as i have a panel data and some endogenous variables to instrument. Also, I account for heteroskedasticity, so i use vce (r) option.
Or both stages should account for heteroskedasticity?
Note: I use panel data of multiple firms i over time t.
My regression is the following: Yi= β0+β1 * Pit+β1 * Sit+β2 * Dit+ FE +eit (with Sit and Dit endogenous var.)
Thank you very much in advance for your help !!
I want to report the R-squared and the overall F-test in my regression table.
I use the command xtivreg, fe, as i have a panel data and some endogenous variables to instrument. Also, I account for heteroskedasticity, so i use vce (r) option.
- Problem 1 - the R-squared: Which one should I report? the Within, the Between and the Overall R-squared?
Or should I use regress 2sls and report its R-squared?
- Problem 2 - the overall F-test: The overall F-statistic is missing. I need it at least for the 1st stage.
Or both stages should account for heteroskedasticity?
Note: I use panel data of multiple firms i over time t.
My regression is the following: Yi= β0+β1 * Pit+β1 * Sit+β2 * Dit+ FE +eit (with Sit and Dit endogenous var.)
Thank you very much in advance for your help !!