Finite-Sample Adjustments for Homogeneity and Symmetry Tests in Systems of Demand Equations: A Monte Carlo Evaluation
This paper gives simulation results comparing the finite-sample performance of three commonly used homogeneity and symmetry asymptotic tests, and some size-corrected tests that can be used when the sample size is small. The results suggest that such finite-sample corrections can be effective in bringing the empirical sizes of the tests closer to their nominal levels. They also suggest that the likelihood ratio test is, in general, more reliable than the Wald and Lagrange multiplier tests. Finally, it is shown that size-corrections of homogeneity tests tend to introduce reductions in power, which can be very large when bootstrap corrections are used. An application to a well known data set is also presented. Citation Copyright 1997 by Kluwer Academic Publishers.
Volume (Year): 10 (1997)
Issue (Month): 4 (November)
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