Finite-Sample Adjustments for Homogeneity and Symmetry Tests in Systems of Demand Equations: A Monte Carlo Evaluation
AbstractThis paper gives simulation results comparing the finite-sample performance of three commonly used homogeneity and symmetry asymptotic tests, and some size-corrected tests that can be used when the sample size is small. The results suggest that such finite-sample corrections can be effective in bringing the empirical sizes of the tests closer to their nominal levels. They also suggest that the likelihood ratio test is, in general, more reliable than the Wald and Lagrange multiplier tests. Finally, it is shown that size-corrections of homogeneity tests tend to introduce reductions in power, which can be very large when bootstrap corrections are used. An application to a well known data set is also presented. Citation Copyright 1997 by Kluwer Academic Publishers.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 10 (1997)
Issue (Month): 4 (November)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jean-Marie Dufour & Lynda Khalaf, 2000.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions,"
CIRANO Working Papers
- Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
- Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.