Instrument Relevance in Multivariate Linear Models: A Simple Measure

20 Pages Posted: 15 Sep 2000 Last revised: 14 Jul 2023

See all articles by John Shea

John Shea

University of Maryland - Department of Economics

Date Written: March 1996

Abstract

The correlation between instruments and explanatory variables is a key determinant of the performance of the instrumental variables estimator. The R-squared 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 paper proposes a computationally simple partial R- squared measure of instrument relevance for multivariate models.

Suggested Citation

Shea, John S., Instrument Relevance in Multivariate Linear Models: A Simple Measure (March 1996). NBER Working Paper No. t0193, Available at SSRN: https://ssrn.com/abstract=225135

John S. Shea (Contact Author)

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3491 (Phone)
301-405-3542 (Fax)