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Implementing Tests with Correct Size in the Simultaneous Equation Model

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  • Marcelo J. Moreira
  • Brian P. Poi

Abstract

This paper fixes 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 implelment these tests in Stata are also introduced.

Suggested Citation

  • Marcelo J. Moreira & Brian P. Poi, 2003. "Implementing Tests with Correct Size in the Simultaneous Equation Model," Harvard Institute of Economic Research Working Papers 1993, Harvard - Institute of Economic Research.
    • Handle: RePEc:fth:harver:1993
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    File URL: http://www.economics.harvard.edu/pub/hier/2003/HIER1993.pdf
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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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