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INSTRUMENTAL VARIABLES ESTIMATION AND THE COEFFICIENT OF DETERMINATION
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1980-3-4 361-376 INSTRUMENTAL VARIABLES ESTIMATION.pdf
Date
1980
Author
Erlat, Halûk
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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.
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https://hdl.handle.net/11511/111344
Journal
ODTÜ Gelişme Dergisi
Collections
Department of Economics, Article
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H. Erlat, “INSTRUMENTAL VARIABLES ESTIMATION AND THE COEFFICIENT OF DETERMINATION,”
ODTÜ Gelişme Dergisi
, vol. 7, no. 34, pp. 361–376, 1980, Accessed: 00, 2024. [Online]. Available: https://hdl.handle.net/11511/111344.