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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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The Review of Economics and Statistics is currently edited by Amitabh Chandra, Olivier Coibion, Bryan S. Graham, Shachar Kariv, Amit K. Khandelwal, Asim Ijaz Khwaja, Brigitte C. Madrian and Rohini Pande

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