Judging instrument relevance in instrumental variables estimation

• 成果类型: Article
• 署名作者: Hall, AR; Rudebusch, GD; Wilcox, DW
• 署名单位: Federal Reserve System - USA; Federal Reserve System - USA
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527324
• 发表日期: 1996
• 页码: 283-298
• 关键词: sample properties

摘要

Recent research has emphasized the poor finite-sample performance of the instrumental variables (IV) estimator when the instruments are weakly correlated with the regressors. We 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, our 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 IV estimator.