FStatistic in 2SLS
Moderators: EViews Gareth, EViews Moderator
FStatistic in 2SLS
The 2SLS output provides the FStatistic, is this the same as the firststage fstatistic reported in Stata? They are providing different results, should this be the case? If so, can someone explain why? Thanks

 Nonnormality and collinearity are NOT problems!
 Posts: 3382
 Joined: Wed Sep 17, 2008 2:25 pm
Re: FStatistic in 2SLS
It is not the firststage F. It's the Fstatistic for the hypothesis that all the coefficients except the intercept equal zero.

 EViews Developer
 Posts: 2598
 Joined: Wed Oct 15, 2008 9:17 am
Re: FStatistic in 2SLS
The EViews 2SLS output produces the Fstatistic for the significance of the regressors in the 2SLS specification, not for the firststage. Bearing in mind that I am not certain what Stata is doing, if they are producing an Fstatistic 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 TwoStage Least Squares," Economics Letters 11, 1983, pp. 129131.
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 TwoStage Least Squares," Economics Letters 11, 1983, pp. 129131.
Re: FStatistic in 2SLS
Wooldridge(2012) says you shouldnt conduct FTests using 2SLS because the R^2 is able to be negative.
Wooldridge suggests that there are other ways to conduct an ftest that avoids this problem and that most statistical software uses this wrap around. Does Eviews correct for this problem?
Wooldridge suggests that there are other ways to conduct an ftest that avoids this problem and that most statistical software uses this wrap around. Does Eviews correct for this problem?

 EViews Developer
 Posts: 2598
 Joined: Wed Oct 15, 2008 9:17 am
Re: FStatistic in 2SLS
I'm not certain of which Wooldridge reference you are citing, nor his recommeded workarounds. The R2 form of Fstatistics 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.
Return to “EViews 5 and Earlier”
Who is online
Users browsing this forum: No registered users and 4 guests