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Implementing tests with correct size in the simultaneous equations model

Author

Listed:
  • 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

    as
    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. Ronelle BURGER & Indraneel DASGUPTA & Trudy OWENS, 2015. "Why Pay NGOs to Involve the Community?," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 86(1), pages 7-31, March.
    2. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/generalized method of moments estimation and testing," Stata Journal, StataCorp LP, vol. 7(4), pages 465-506, December.
    3. Asmaa Elbadawy, 2013. "The Effect of Tutoring on Secondary Streaming in Egypt," Working Papers 769, Economic Research Forum, revised Sep 2013.
    4. Urbain Thierry Yogo, 2015. "Terrorism and Fiscal Policy Volatility in Developing Countries: Evidence from cross-country and Panel Data," Working Papers halshs-01161601, HAL.
    5. Federica VIGANO & Andrea SALUSTRI, 2015. "Matching profit and Non-profit Needs: How NPOs and Cooperative Contribute to Growth in Time of Crisis. A Quantitative Approach," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 86(1), pages 157-178, March.
    6. Katherine Baicker & Amitabh Chandra, 2006. "The Labor Market Effects of Rising Health Insurance Premiums," Journal of Labor Economics, University of Chicago Press, vol. 24(3), pages 609-634, July.
    7. Brian P. Poi, 2006. "Jackknife instrumental variables estimation in Stata," Stata Journal, StataCorp LP, vol. 6(3), pages 364-376, September.
    8. 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.
    9. 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.
    10. Urbain Thierry YOGO, 2015. "Terrorism and Fiscal Policy Volatility in Developing Countries: Evidence from cross-country and Panel Data," Working Papers 201514, CERDI.
    11. repec:bla:coecpo:v:36:y:2018:i:1:p:116-135 is not listed on IDEAS
    12. 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.
    13. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers 0706, Centre for Economic Reform and Transformation, Heriot Watt University.
    14. Astrid SIMILON, 2015. "Self-Regulation Systems for NPO Coordination: Strenghts and Weaknesses of Label and Umbrella Mechanisms," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 86(1), pages 89-104, March.
    15. 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.

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