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Implementing tests with correct size in the simultaneous equations model

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Author Info
Marcelo J. Moreira (Harvard University)
Brian P. Poi (Stata Corporation)

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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.

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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 3 (2003)
Issue (Month): 1 (March)
Pages: 57-70
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Handle: RePEc:tsj:stataj:v:3:y:2003:i:1:p:57-70

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

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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.:
  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.
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Cited by:
(explanations, 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.)

  1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
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This page was last updated on 2009-11-22.

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