Implementing tests with correct size in the simultaneous equations model
Marcelo J. Moreira
Department of Economics
Harvard University
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Brian P. Poi
Stata Corporation
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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.
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Marcelo J. Moreira, Brian P. Poi
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instrumental variables, weak instruments, similar tests, score test, Wald test, likelihood-ratio test, confidence regions, 2SLS estimator, LIML estimator
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