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Instrument Relevance in Multivariate Linear Models

Leslie G. Godfrey

University of York

The Review of Economics and Statistics 1999

Ameasure of the relevancy of instruments used to estimate the coefficients of a linear multiple regression model is discussed. A method for computing the measure using only standard results from ordinary least squares and two-stage least squares estimation is described. The method is illustrated using an empirical example.

DOI
10.1162/rest.1999.81.3.550
Volume
81 (3)
Pages
550-552
Language
en
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