Dear all,

I have panel data with time invariant variable.

look at statistic for firststage the R Square Partial appear too low. There are any Threshold for Partial R Square...

Someone can help:

First-stage regression summary statistics

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| Adjusted Partial

Variable | R-sq. R-sq. R-sq. F(2,746) Prob > F

-------------+------------------------------------------------------------

TURN_1 | 0.1417 0.1233 0.0713 28.6487 0.0000

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Shea's partial R-squared

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| Shea's Shea's

Variable | partial R-sq. adj. partial R-sq.

-------------+------------------------------------

TURN_1 | 0.0713 0.0527

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Minimum eigenvalue statistic = 28.6487

Critical Values # of endogenous regressors: 1

H0: Instruments are weak # of excluded instruments: 2

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| 5% 10% 20% 30%

2SLS relative bias | (not available)

-----------------------------------+---------------------------------

| 10% 15% 20% 25%

2SLS size of nominal 5% Wald test | 19.93 11.59 8.75 7.25

LIML size of nominal 5% Wald test | 8.68 5.33 4.42 3.92

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estat overid

Tests of overidentifying restrictions:

Sargan (score) chi2(1) = 1.08549 (p = 0.2975)

Basmann chi2(1) = 1.06282 (p = 0.3026)

Best regards