Feiv does not calculate second stage R2 and F-statistic

[chungkhy]

Hi pyfixest community! Love the performance and convenience this package brings.

I have a question regarding Feiv. I can't seem to find where to get the second stage R2 and _F_stat. After looking through the files and Issues page, I could only find a description on R2 - feols() does not report R2 statistics for IVs - and nothing about second stage F statistic. Is there a reason why R2 is not reported for IVs? Also, is it possible to get the second stage F statistic in an Feiv instance?

Thank you so much!

[s3alfisc]

Hi @chungkhy , you get the R2 value for the first stage but not for the "full IV" estimator. We have this in the docs here but maybe it is a little to hidden? I wonder if we should add a dedicated notebook on IV estimaton?

The IV attributes are listed here. After running an IV, you should get the first stage f-statistic as the Feiv._f_stat_1st_stage and the effective F statistic (if you have computed it) via Feiv._eff_F.

Hope this helps!

[chungkhy]

Hi @s3alfisc, thanks for this 🙌

Yes, I am able to find all first stage diagnostics/statistics with no problem. My question is more specifically for the second stage or "full IV" regression results. There is no R2 value or F-stat for it at the moment to my understanding. Would it be possible to add these in future iterations of Feiv?