F-Statistic in 2SLS

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tgmoe
Posts: 5
Joined: Wed Dec 07, 2011 4:06 pm

F-Statistic in 2SLS

Postby tgmoe » Wed Dec 07, 2011 4:10 pm

The 2SLS output provides the F-Statistic, is this the same as the first-stage f-statistic reported in Stata? They are providing different results, should this be the case? If so, can someone explain why? Thanks

startz
Non-normality and collinearity are NOT problems!
Posts: 3172
Joined: Wed Sep 17, 2008 2:25 pm

Re: F-Statistic in 2SLS

Postby startz » Wed Dec 07, 2011 4:37 pm

It is not the first-stage F. It's the F-statistic for the hypothesis that all the coefficients except the intercept equal zero.

EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: F-Statistic in 2SLS

Postby EViews Glenn » Wed Dec 07, 2011 4:39 pm

The EViews 2SLS output produces the F-statistic for the significance of the regressors in the 2SLS specification, not for the first-stage. Bearing in mind that I am not certain what Stata is doing, if they are producing an F-statistic based on the first stage, it would presumably be quite different.

I just noticed that Startz posted a reply to your original question. Coincidentally, I was going to provide you with a reference:

Startz, Richard, "Computation of Linear Hypothesis Tests for Two-Stage Least Squares," Economics Letters 11, 1983, pp. 129-131.

tgmoe
Posts: 5
Joined: Wed Dec 07, 2011 4:06 pm

Re: F-Statistic in 2SLS

Postby tgmoe » Wed Dec 07, 2011 5:09 pm

Alright great, thanks.

kruupy
Posts: 12
Joined: Thu Aug 14, 2014 11:38 pm

Re: F-Statistic in 2SLS

Postby kruupy » Sun Sep 07, 2014 10:42 pm

Wooldridge(2012) says you shouldnt conduct F-Tests using 2SLS because the R^2 is able to be negative.

Wooldridge suggests that there are other ways to conduct an f-test that avoids this problem and that most statistical software uses this wrap around. Does Eviews correct for this problem?

EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: F-Statistic in 2SLS

Postby EViews Glenn » Mon Sep 08, 2014 9:42 am

I'm not certain of which Wooldridge reference you are citing, nor his recommeded workarounds. The R2 form of F-statistics is an computational shortcut that one can use in certain, but not all, cases. EViews has never used this shortcut; the reference I provided above describes in great detail what we do.


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