Instrument Relevance in Multivariate Linear Models: A Simple Measure
The correlation between instruments and explanatory variables is a key determinant of the performance of the instrumental variables estimator. The R<sup>2</sup> from regressing the explanatory variable on the instrument vector is a useful measure of relevance in univariate models, but can be misleading when there are multiple endogenous variables. This note proposes a computationally simple partial R<sup>2</sup> measure of instrument relevance for multivariate models. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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1997
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Authors: |
Shea, John
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Publisher: |
MIT Press
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Extent: | application/pdf |
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Type of publication: | Article
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Persistent link: https://www.econbiz.de/10011009891