A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method

DOI10.2307/2951666zbMath0805.62098OpenAlexW2142848963MaRDI QIDQ4301035

Richard J. Smith, M. Hashem Pesaran

Publication date: 6 February 1995

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951666

zbMATH Keywords

instrumental variablesresidualsmultiple correlation coefficientprediction errorscriterion for model selectionlinear structural form modelmeasure of goodess-of-fit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99)

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