Implementing Tests with Correct Size in the Simultaneous Equation Model
AbstractThis paper fixes 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 implelment these tests in Stata are also introduced.
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Bibliographic InfoPaper provided by Harvard - Institute of Economic Research in its series Harvard Institute of Economic Research Working Papers with number 1993.
Date of creation: 2003
Date of revision:
Other versions of this item:
- Marcelo J. Moreira & Brian P. Poi, 2003. "Implementing tests with correct size in the simultaneous equations model," Stata Journal, StataCorp LP, vol. 3(1), pages 57-70, March.
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