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 2 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 2 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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Volume (Year): 79 (1997)
Issue (Month): 2 (May)
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