Instrument Relevance in Multivariate Linear Models: A Simple Measure
针对多元内生变量模型，提出一个计算简单的偏R平方度量，用于评估工具变量与解释变量的相关性，避免传统单变量R平方的误导。
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.