Could you please help me to calculate Fstatistic for 2SLS.
It is reported that: The summary statistics reported at the bottom of the table are computed using the formulae outlined in "Summary Statistics".
I’m trying to calculate Fstatistic as
F = R2*(Tk) / (1R2)*(k1)
For instance:
Rsquared = 0.91555469
T = 43 (observations)
k = 3 (2 explanatory variables and intercept)
Instrument specification: 2 instruments, Constant added to instrument list
According to this formula F = 216.8397
Eviews returns F = 229.4930
How should I change expression to get Eviews value?
I can not find something about it in literature.
Thanks in advance.
FStatistic for 2SLS
Moderators: EViews Gareth, EViews Moderator

 Nonnormality and collinearity are NOT problems!
 Posts: 3009
 Joined: Wed Sep 17, 2008 2:25 pm
Re: FStatistic for 2SLS
Computation of Linear Hypothesis Tests for TwoStage Least Squares,” Economics Letters, l983, ll (l2), pp. l29l3l.
Re: FStatistic for 2SLS
in article is written :
"The square of the standard error of the regression is given by s^2 = E’E/(n  k). Notice that the reported variancecovariance matrix of the
coefficients is s*V. Therefore, the difference of the restricted and unrestricted secondstage SSR, divided by the true SSR, times (n  k)/q, is
numerically identical to the Fstatistic usually calculated."
I understood that fstat = (R^2/(1R^2))/((nk)/q), but I have different result.
ex. Fstat = 822.8661 from LS
Fstat = 810.2886 from 2SLS
"The square of the standard error of the regression is given by s^2 = E’E/(n  k). Notice that the reported variancecovariance matrix of the
coefficients is s*V. Therefore, the difference of the restricted and unrestricted secondstage SSR, divided by the true SSR, times (n  k)/q, is
numerically identical to the Fstatistic usually calculated."
I understood that fstat = (R^2/(1R^2))/((nk)/q), but I have different result.
ex. Fstat = 822.8661 from LS
Fstat = 810.2886 from 2SLS
Re: FStatistic for 2SLS
Hello.
I have a model y=c(1)+c(2)*x1+c(3)*x2+e
EViews gives me an estimate of 2SLS
Dependent Variable: Y
Method: Least Squares
Date: 07/25/11 Time: 17:59
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error tStatistic Prob.
C 5.258429 14.21942 0.369806 0.7225
X1 0.324894 3.323727 0.097750 0.9249
X2 0.400823 0.274146 1.462076 0.1871
Rsquared 0.236166 Mean dependent var 18.00000
Adjusted Rsquared 0.017927 S.D. dependent var 17.49921
S.E. of regression 17.34164 Akaike info criterion 8.787423
Sum squared resid 2105.127 Schwarz criterion 8.878199
Log likelihood 40.93712 HannanQuinn criter. 8.687843
Fstatistic 1.082146 DurbinWatson stat 1.511508
Prob(Fstatistic) 0.389491
To calculate Fstatistics, I use the formula: F=((Hbr)'(H(X'X)^1H')^1(Hbr))/(s^2*q), where H  matrix of restrictions, b vector of estimation coef.
Same formula I use to calculate statistics in the Valdtest, but here I got another result, different from Fstatistics. Could you please help me to find the mistake?
I have a model y=c(1)+c(2)*x1+c(3)*x2+e
EViews gives me an estimate of 2SLS
Dependent Variable: Y
Method: Least Squares
Date: 07/25/11 Time: 17:59
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error tStatistic Prob.
C 5.258429 14.21942 0.369806 0.7225
X1 0.324894 3.323727 0.097750 0.9249
X2 0.400823 0.274146 1.462076 0.1871
Rsquared 0.236166 Mean dependent var 18.00000
Adjusted Rsquared 0.017927 S.D. dependent var 17.49921
S.E. of regression 17.34164 Akaike info criterion 8.787423
Sum squared resid 2105.127 Schwarz criterion 8.878199
Log likelihood 40.93712 HannanQuinn criter. 8.687843
Fstatistic 1.082146 DurbinWatson stat 1.511508
Prob(Fstatistic) 0.389491
To calculate Fstatistics, I use the formula: F=((Hbr)'(H(X'X)^1H')^1(Hbr))/(s^2*q), where H  matrix of restrictions, b vector of estimation coef.
Same formula I use to calculate statistics in the Valdtest, but here I got another result, different from Fstatistics. Could you please help me to find the mistake?

 Nonnormality and collinearity are NOT problems!
 Posts: 3009
 Joined: Wed Sep 17, 2008 2:25 pm
Re: FStatistic for 2SLS
That's the OLS formula. It doesn't apply to 2SLS.
Who is online
Users browsing this forum: No registered users and 8 guests