Improving Some Instrumental Variables Test Procedures

Michael A. Magdalinos

Econometric Theory, 1985, vol. 1, issue 2, 240-262

Abstract: This paper is concerned with Cornish–Fisher corrections of some instrumental variables test statistics. The tests based on the corrected statistics have size with error of a smaller order of magnitude than the original tests. Symmetric Edgeworth-corrected confidence regions are also defined for the structural parameters. All these corrections are given as analytic formulas that require only limited information, so their implementation is a relatively easy task.

Date: 1985
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