Hi,
I am trying to check the relevance of instruments used in 2SLS regression. I use Shea’s partial R2. Here is the relevant part of my output:
My question is would these results suggest that my instruments are relevant? That is, what constitutes a low value for the partial R2?
I am trying to check the relevance of instruments used in 2SLS regression. I use Shea’s partial R2. Here is the relevant part of my output:
Code:
----------------------------------------------------------------------------- Partial R-squared of excluded instruments: 0.0364 Test of excluded instruments: F( 3, 10975) = 5.96 Prob > F = 0.0005