Instrument Relevance in Multivariate Linear Models: A Simple Measure / John Shea.

Format:

Book

Author/Creator:

Shea, John, 1964-

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0193.

NBER technical working paper series no. t0193

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Instrument Relevance in Multivariate Linear Models

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1996.

Summary:

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.

Notes:

March 1996.

Print version record