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  • xtivreg, the R-squared and F-stat issue

    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.
    • 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.
    Is it fair to report the F-stat of the 1st stage without the robust option? (because i have it without vce (r))

    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= β01 * Pit1 * Sit2 * Dit+ FE +eit​​​​​​​ (with S​​​​​​​it and Dit endogenous var.)

    Thank you very much in advance for your help !!
    Last edited by Arjen Steiner; 06 Dec 2022, 13:05.
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