Finite sample performance of the robust Wald test in simultaneous equation systems
AbstractThe estimator of the coefficient covariance matrix proposed in White (1982) can be used to robustify the classical Wald test. Sampling experiments recently performed on linear regressions and simultaneous equation models, however, suggest that such an estimator tends to underestimate the covariance matrix if the model is correctly specified. In the classical framework of simultaneous equation systems, this paper aims at investigating the consequences of the use of robust covariance matrix estimator in the Wald test, when there is no misspecification.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22557.
Date of creation: 1987
Date of revision:
Simultaneous equations; Wald test; robust covariance matrix estimator; Monte Carlo;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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