negative R² with System 2SLS/3SLS
Posted: 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
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