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Assessing the magnitude of the concentration parameter in a simultaneous equations model

Donald Poskitt and Christopher Skeels

Econometrics Journal, 2009, vol. 12, issue 1, 26-44

Abstract: This paper provides the practitioner with a method of ascertaining when the concentration parameter in a simultaneous equations model is small. We provide some exact distribution theory for a proposed statistic and show that the statistic possesses the minimal desirable characteristics of a test statistic when used to test that the concentration parameter is zero. The discussion is then extended to consider how to test for weak instruments using this statistic as a basis for inference. We also discuss the statistic's relationship to various other procedures that have appeared in the literature. Copyright The Author(s). Journal compilation Royal Economic Society 2009

Date: 2009
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Working Paper: Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model (2004) Downloads
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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:1:p:26-44