论文信息 - Coefficients of correlation for simultaneous equation systems

Coefficients of correlation for simultaneous equation systems

Abstract This paper presents measures of correlation for use with either a single equation within a simultaneous system or for the whole system, which specifically account for the identifying restrictions. The measures lie between zero and one and have the same interpretation as the familiar R 2 used with classical least squares. When used in conjunction with several common coefficient estimators they have straightforward limiting distributions so that asymptotic tests of significance are possible.

A. L. Nagar | R. Carter | Richard Carter | Anirudh L. Nagar

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