Implementing Tests with Correct Size in the Simultaneous Equation Model

Marcelo Moreira and Brian Poi ()

No 1993, Harvard Institute of Economic Research Working Papers from Harvard - Institute of Economic Research

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.

Date: 2003
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