The Review of Economics and Statistics Vol. 79 No. 2 1997
Instrument Relevance in Multivariate Linear Models: A Simple Measure
open access
Abstract
The correlation between instruments and explanatory variables is a key determinant of the performance of the instrumental variables estimator. The R-squared 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 paper proposes a computationally simple partial R- squared measure of instrument relevance for multivariate models.
- DOI
- 10.1162/rest.1997.79.2.348
- Volume
- 79
- Issue
- 2
- Pages
- 348-352
- Language
- en
- Sources
- openalex crossref