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Implementing tests with correct size in the simultaneous equations model

Author

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  • Marcelo J. Moreira

    (Harvard University)

  • Brian P. Poi

    (Stata Corporation)

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.

Suggested Citation

  • 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.
  • Handle: RePEc:tsj:stataj:v:3:y:2003:i:1:p:57-70
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    References listed on IDEAS

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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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