Judging Instrument Relevance in Instrumental Variables Estimation
探讨在多个工具变量和多个回归变量的情况下，如何用典型相关衡量工具相关性，但模拟表明这类指标实际用处不大，甚至可能恶化有限样本性质。
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.