Recent research has emphasized the poor finite-sampleperformance of the instrumental variables (IV) estimator when the instruments are weakly correlated with the regressors. To address this problem, a variety of statistics intended to judge instrument relevance have been proposed in the...

In this paper, we develop an info-metric framework for testing hypotheses about structural instability in nonlinear, dynamic models estimated from the information in population moment conditions. Our methods are designed to distinguish between three states of the world: (i) the model is...

In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.