What is Ivregress?

ivregress fits linear models where one or more of the regressors are endogenously determined. ivregress supports estimation via two-stage least squares (2SLS), limited-information maximum likelihood (LIML), and generalized method of moments (GMM).

What is Ivreg in R?

Description Instrumental variable estimation for linear models by two-stage least-squares (2SLS) re- gression or by robust-regression via M-estimation (2SM) or MM- estimation (2SMM). The main ivreg() model-fitting function is designed to provide a work- flow as similar as possible to standard lm() regression.

What does R Squared mean in Stata?

R-squared – R-Squared is the proportion of variance in the dependent variable (science) which can be predicted from the independent variables (math, female, socst and read). This value indicates that 48.92% of the variance in science scores can be predicted from the variables math, female, socst and read.

What is xtivreg2?

xtivreg2 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg2, which must be installed for xtivreg2 to run (version 2.1. 11 or above of ivreg2 is required for Stata 9; Stata 8.2 requires ivreg28).

How does 2sls work?

Two-stage least-squares regression uses instrumental variables that are uncorrelated with the error terms to compute estimated values of the problematic predictor(s) (the first stage), and then uses those computed values to estimate a linear regression model of the dependent variable (the second stage).

What is the Wald estimator?

In statistics, the Wald test (named after Abraham Wald) assesses constraints on statistical parameters based on the weighted distance between the unrestricted estimate and its hypothesized value under the null hypothesis, where the weight is the precision of the estimate.

Is R-squared the correlation coefficient?

The correlation coefficient formula will tell you how strong of a linear relationship there is between two variables. R Squared is the square of the correlation coefficient, r (hence the term r squared).