Implementing tests with correct size in the simultaneous equations model

Marcelo Moreira and Brian Poi ()

Stata Journal, 2003, vol. 3, issue 1, 57-70

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.

Keywords: instrumental variables; weak instruments; similar tests; score test; Wald test; likelihood-ratio test; conÞdence regions; 2SLS estimator; LIML estimator (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (28)

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Related works:
Working Paper: Implementing Tests with Correct Size in the Simultaneous Equation Model (2003)
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