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I'm running an instrumental variables regression with a single predictor on a sample size of 120.

When I run the regression, the predictor is significant at the 0.01 level, but the adjusted R-squared is negative.

My interpretation of a negative R-squared value would be that my predictor does not fit the data at all. If that's true, however, I'm not sure why the predictor itself would have such a high level of significance. Could the fact that I'm not running OLS regression be affecting the the results? How do results like this occur?

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  • $\begingroup$ Welcome to this site. Please indicate your model and summary of output. $\endgroup$ – Subhash C. Davar Dec 31 '17 at 1:08

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