用xtivreg命令对一组含有内生变量的面板数据回归,结果如下。只是回归的显著性看还是挺好的,但是R-sq的值是不是太小了,
G2SLS random-effects IV regression Number of obs = 31535
Group variable: CODE_P Number of groups = 6303
R-sq: within = 0.0672 Obs per group: min = 5
between = 0.0657 avg = 5.0
overall = 0.0538 max = 20
Wald chi2(4) = 1125.33
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
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incomeusd | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+---------------------------------------------------------------
education | 131.0988 4.377558 29.95 0.000 122.5189 139.6786
gender | 159.0631 27.3585 5.81 0.000 105.4414 212.6848
exp | 57.66444 3.51367 16.41 0.000 50.77778 64.55111
exp2 | -.5487629 .055131 -9.95 0.000 -.6568177 -.4407081
_cons | -1080.251 82.40952 -13.11 0.000 -1241.771 -918.7317
-------------+----------------------------------------------------------------
sigma_u | 916.27563
sigma_e | 665.37942
rho | .65473528 (fraction of variance due to u_i)