linearmodels.iv.results.FirstStageResults.diagnostics

property FirstStageResults.diagnostics: DataFrame[source]

Post estimation diagnostics of first-stage fit

Returns
DataFrame

DataFrame where each endogenous variable appears as a row and the columns contain alternative measures. The columns are:

  • rsquared - R-squared from regression of endogenous on exogenous and instruments

  • partial.rsquared - R-squared from regression of the exogenous variable on instruments where both the exogenous variable and the instrument have been orthogonalized to the exogenous regressors in the model.

  • f.stat - Test that all coefficients are zero in the model used to estimate the partial R-squared. Uses a standard F-test when the covariance estimator is unadjusted - otherwise uses a Wald test statistic with a chi2 distribution.

  • f.pval - P-value of the test that all coefficients are zero in the model used to estimate the partial R-squared

  • f.dist - Distribution of f.stat

  • shea.rsquared - Shea’s r-squared which measures the correlation between the projected and orthogonalized instrument on the orthogonalized endogenous regressor where the orthogonalization is with respect to the other included variables in the model.