So I wanted your help with this :
We have a model, with two exogenous variables $$yt = B1 + B2 X2t + B3 X3t + mu$$
Let ry2, ry3, r23 be the linear correlation coeff. between the endogenous variable and X2, the endogenous variable and X3 and finally, between both X2 and X3, respectively.
We know that $$R² = [(ry2)²+(ry3)²-2(ry2*ry3*r23)]/[1-r23²]$$
Could anyone give me an idea where this expression came from? It looks like the expansion of the (a+b)² formula.
My MAIN question is : What would be the expression of R² if we have n exogenous variables? How do we deduce it from the above R²?
