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Implementing Tests with Correct Size in the Simultaneous Equation Model

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  • Marcelo J. Moreira
  • Brian P. Poi

Abstract

This 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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File URL: http://www.economics.harvard.edu/pub/hier/2003/HIER1993.pdf
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Bibliographic Info

Paper provided by Harvard - Institute of Economic Research in its series Harvard Institute of Economic Research Working Papers with number 1993.

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Date of creation: 2003
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Handle: RePEc:fth:harver:1993

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  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:
  1. Brian P. Poi, 2006. "Jackknife instrumental variables estimation in Stata," Stata Journal, StataCorp LP, vol. 6(3), pages 364-376, September.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.

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