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Implementing tests with correct size in the simultaneous equations model

  • Marcelo J. Moreira

    (Harvard University)

  • Brian P. Poi

    (Stata Corporation)

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.

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Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 3 (2003)
Issue (Month): 1 (March)
Pages: 57-70

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Handle: RePEc:tsj:stataj:v:3:y:2003:i:1:p:57-70
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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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