Instrument Relevance in Multivariate Linear Models: A Simple Measure

John Shea ()

The Review of Economics and Statistics, 1997, vol. 79, issue 2, 348-352

Abstract: The correlation between instruments and explanatory variables is a key determinant of the performance of the instrumental variables estimator. The R 2 from regressing the explanatory variable on the instrument vector is a useful measure of relevance in univariate models, but can be misleading when there are multiple endogenous variables. This note proposes a computationally simple partial R 2 measure of instrument relevance for multivariate models. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Date: 1997
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Working Paper: Instrument Relevance in Multivariate Linear Models: A Simple Measure (1996)
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