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Judging instrument relevance in instrumental variables estimation

Author

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  • Alastair R. Hall
  • Glenn D. Rudebusch
  • David W. Wilcox
Abstract
Recent research has emphasized the poor finite-sample performance of the instrumental variables estimator when the instruments are weakly correlated with the regressors. The authors show how the canonical correlations between regressors and instruments can provide a measure of instrument relevance in the general multiple-instrument-multiple-regressor case. However, their simulation results indicate that any such relevance measure probably has little practical merit, as its use may actually exacerbate the poor finite-sample properties of the instrumental variables estimator. Copyright 1996 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:94-3
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    Keywords

    Econometrics;

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