Instrument Relevance in Multivariate Linear Models
A measure 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. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Volume (Year): 81 (1999)
Issue (Month): 3 (August)
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