Shea, John. <br/><br/>
Instrument Relevance in Multivariate Linear Models:  A Simple Measure / 
John Shea. 
 - Cambridge, Mass.  National Bureau of Economic Research  1996. 
 - 1 online resource:  illustrations (black and white); 
 - NBER technical working paper series  no. t0193 .
 - Technical Working Paper Series (National Bureau of Economic Research)  no. t0193. .
<br/><br/> March 1996. 
<br/><br/> 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. 
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