Finite sample performance of the robust Wald test in simultaneous equation systems

Giorgio Calzolari and Lorenzo Panattoni

MPRA Paper from University Library of Munich, Germany

Abstract: The estimator of the coefficient covariance matrix proposed in White (1982) can be used to robustify the classical Wald test. Sampling experiments recently performed on linear regressions and simultaneous equation models, however, suggest that such an estimator tends to underestimate the covariance matrix if the model is correctly specified. In the classical framework of simultaneous equation systems, this paper aims at investigating the consequences of the use of robust covariance matrix estimator in the Wald test, when there is no misspecification.

Keywords: Simultaneous equations; Wald test; robust covariance matrix estimator; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C15 C30 (search for similar items in EconPapers)
Date: 1987
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https://mpra.ub.uni-muenchen.de/24847/1/MPRA_paper_24847.pdf revised version (application/pdf)

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