The video features actor Robert Downey Jr. lip-synching the song in one long shot as he walks from room to room of a large empty house (Greystone Mansion, a estate designed by architect Gordon Kaufmann, which is popular as a filming location due to its beauty, manicured grounds and Beverly Hills location). Director Sam Taylor-Wood came up with the idea and Elton felt Downey was a perfect choice. At the time, Downey was in drug rehab and the lyrics were pertinent to what he was going through. It seems a reminiscence of Lisa Loeb‘s Stay music video.
In 1990 Loeb formed a full band called Nine Stories. The band, which was named after the book by J.D. Salinger, included Tim Bright on guitar, Jonathan Feinberg on drums, and Joe Quigley on bass. Loeb began working with producer Juan Patiño to make the cassette Purple Tape in 1992.
Her big break came through her friendship with actor Ethan Hawke, who lived in an apartment across the street from her in New York City. They met through mutual friends in the NYC theater community. Loeb gave Hawke the Juan Patiño-produced version of Stay (I Missed You), who in turn gave it to director Ben Stiller during the making of the 1994 film Reality Bites, with Stacy Sher. Stiller subsequently decided to use the song in the film’s ending credits, and it was included by Ron Fair on the soundtrack on RCA records. Hawke also directed a rare one-take video on film, a continuous Steadicam shot operated by Robin Buerki.