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

DOI10.2307/2951666MaRDI QIDQ4301035zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran, Richard J. Smith

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

residualsinstrumental variablesmultiple correlation coefficientprediction errorscriterion for model selectionlinear structural form modelmeasure of goodess-of-fit

Mathematics Subject Classification ID

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

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(12)

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• A simple test for linearity against exponential smooth transition models with endogenous variables
• Price collusion and deregulation in the Japanese retail gasoline market
• An R²criterion based on optimal predictors
• Linear instrumental variables model averaging estimation
• Trade policy and income inequality: New evidence
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Two-Stage Bayesian Model Averaging in Endogenous Variable Models
• Generalizing R² for deming regressions
• A pseudo-\(R^ 2\) measure for limited and qualitative dependent variable models
• Goodness-of-fit for allocation models
• The asymptotic behaviour of the residual sum of squares in models with multiple break points

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