Advanced Search
MyIDEAS: Login

Implementing tests with correct size in the simultaneous equations model

Contents:

Author Info

  • Marcelo J. Moreira

    (Harvard University)

  • Brian P. Poi

    (Stata Corporation)

Abstract

In this paper, we propose a fix to the size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative confidence regions for the structural parameter with correct coverage probability. Commands to implement these tests in Stata are also introduced. Copyright 2003 by Stata Corporation.

Download Info

If 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.
File URL: http://www.stata-journal.com/software/sj3-1/st0033/
Download Restriction: no

File URL: http://www.stata-journal.com/sjpdf.html?articlenum=st0033
Download Restriction: no

Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 3 (2003)
Issue (Month): 1 (March)
Pages: 57-70

as in new window
Handle: RePEc:tsj:stataj:v:3:y:2003:i:1:p:57-70

Contact details of provider:
Web page: http://www.stata-journal.com/

Order Information:
Web: http://www.stata-journal.com/subscription.html

Related research

Keywords: instrumental variables; weak instruments; similar tests; score test; Wald test; likelihood-ratio test; conÞdence regions; 2SLS estimator; LIML estimator;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Chun, Hyunbae & Kim, Jung-Wook & Morck, Randall & Yeung, Bernard, 2008. "Creative destruction and firm-specific performance heterogeneity," Journal of Financial Economics, Elsevier, vol. 89(1), pages 109-135, July.
  2. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers 0706, Centre for Economic Reform and Transformation, Heriot Watt University.
  3. Mentzakis, Emmanouil & Suhrcke, Marc & Roberts, Bayard & Murphy, Adrianna & McKee, Martin, 2013. "Estimating the causal effect of alcohol consumption on well-being for a cross-section of 9 former Soviet Union countries," Social Science & Medicine, Elsevier, vol. 89(C), pages 1-7.
  4. Sen, Anindya & Rybczynski, Kathleen & Van De Waal, Corey, 2011. "Teen employment, poverty, and the minimum wage: Evidence from Canada," Labour Economics, Elsevier, vol. 18(1), pages 36-47, January.
  5. Anna Mikusheva & Brian P. Poi, 2006. "Tests and confidence sets with correct size when instruments are potentially weak," Stata Journal, StataCorp LP, vol. 6(3), pages 335-347, September.
  6. Brian P. Poi, 2006. "Jackknife instrumental variables estimation in Stata," Stata Journal, StataCorp LP, vol. 6(3), pages 364-376, September.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:3:y:2003:i:1:p:57-70. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.