Judging Instrument Relevance in Instrumental Variables Estimation

DOI10.2307/2527324zbMath0853.62092MaRDI QIDQ4889511

David W. Wilcox, Glenn D. Rudebusch, Alastair R. Hall

Publication date: 9 January 1997

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2527324

zbMATH Keywords

simulation results; canonical correlations; instrumental variables estimation; finite-sample performance; general multiple-instrument-multiple-regressor case

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62H20: Measures of association (correlation, canonical correlation, etc.)

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