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[From Stata] How can an R2 be negative?
The formula for R-squared is
R2 = MSS/TSS
where
MSS = model sum of squares = TSS − RSS and
TSS = total sum of squares = sum of (y − ybar)2 and
RSS = residual (error) sum of squares = sum of (y − Xb)2
On your output MSS is negative, so R2 would be negative.
MSS is negative because RSS is greater than TSS. RSS is greater than TSS because ybar is a better predictor of y (in the sum-of-squares sense) than Xb!
How can Xb be worse than ybar, especially when the model includes the constant term? At first glance, this seems impossible. But it is possible with the 2SLS/IV model.
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