negative R² with System 2SLS/3SLS

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s3n470r
Posts: 1
Joined: Sat Dec 13, 2008 4:50 pm

negative R² with System 2SLS/3SLS

Postby s3n470r » Sat Dec 13, 2008 5:05 pm

Hi all,

when I estimate a system of 4 equations with 2SLS/3SLS and GMM. I get a negative R² for 2 equations and positive R² for the other 2.
WHY?

If I estimate the model with SUR, they are all positive.

Any suggestions whats wrong with my model, or recommendations how to overcome this flaw.

Best,
senny
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13319
Joined: Tue Sep 16, 2008 5:38 pm

Re: negative R² with System 2SLS/3SLS

Postby EViews Gareth » Sat Dec 13, 2008 5:21 pm

Negative R2 in instrumental variable estimation is not a problem, and you shouldn't worry about it.
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