#StackBounty: #r #goodness-of-fit #r-squared #instrumental-variables #endogeneity Can I ignore negative R-squared value when I am using…

Bounty: 50

I am running an instrumental variable regression using ‘ivreg’ command in R program. I find that the R-squared value which is negative. May I know whether I can ignore this negative R-squared value without reporting? If not, what is an alternative manner to resolve this issue? The code is as below:

    > Y2_ivreg2=ivreg(Y2~x1+x2+x3+x4+x5+x6+x7+x8+x9|x2+x10+x11+x12+x5+x6+x7+x8+x9,data=DATA2)
    > summary(Y2_ivreg2,diagnostics=TRUE)

    Call:
    ivreg(formula = Y2 ~ x1 + x2 + x3 + x4 + x5 + 
        x6 + x7 + x8 + x9 | x2 + x10 + 
        x11 + x12 + x5 + x6 + x7 + x8 + 
        x9, data = DATA2)

    Residuals:
          Min        1Q    Median        3Q       Max 
    -0.754860 -0.054511 -0.008602  0.044721  1.098549 

    Coefficients:
              Estimate  Std. Error t value Pr(>|t|)    
 (Intercept)  2.532e-01  6.376e-02   3.971 7.32e-05 ***
    x1        1.543e-03  7.497e-04   2.058   0.0397 *  
    x2        2.687e-03  1.072e-03   2.505   0.0123 *  
    x3       -1.051e-02  6.245e-03  -1.683   0.0925 .  
    x4       -1.290e-03  7.494e-04  -1.722   0.0852 .  
    x5       -2.010e-02  8.384e-03  -2.398   0.0166 *  
    x6       -9.806e-01  8.123e-01  -1.207   0.2275    
    x7       -2.594e-05  1.253e-05  -2.070   0.0385 *  
    x8        1.664e-03  6.785e-04   2.452   0.0143 *  
    x9       -2.716e-03  5.700e-04  -4.766 1.96e-06 ***

    Diagnostic tests:
                              df1  df2 statistic p-value    
    Weak instruments (x1)    3 3311   142.916  <2e-16 ***
    Weak instruments (x3)    3 3311  4686.511  <2e-16 ***
    Weak instruments (x4)    3 3311  2745.649  <2e-16 ***
    Wu-Hausman               3 3308     3.629  0.0124 *  
    Sargan                   0   NA        NA      NA    
    ---
    Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

    Residual standard error: 0.1151 on 3311 degrees of freedom
    Multiple R-Squared: -0.02389,   Adjusted R-squared: -0.02667 
    Wald test: 4.735 on 9 and 3311 DF,  p-value: 2.793e-06 


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