INSTRUMENTAL VARIABLES ESTIMATION AND THE COEFFICIENT OF DETERMINATION

Date

1980

Author

Erlat, Halûk

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

10
views

9
downloads

Cite This

We first demonstrate that Instrumental Variables (IV) may be viewed as a two-step OLS estimator. Subsequently, we show that the coefficient of determination based on IV residuals does not lie between 0 and 1. As an alternative we suggest the use of the coefficient of determination from the second step of the two-step OLS interpretation of IV. The properties of said R2 are investigated and its relationship to the R2 suggested by Carter and Nagar for simultaneous equations is examined.

URI

https://hdl.handle.net/11511/111344

Collections

Department of Economics, Article