Implementing Tests with Correct Size in the Simultaneous Equation Model

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.

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Year of publication:	2003
Authors:	Moreira, Marcelo J. ; Poi, Brian P.
Institutions:	Harvard Institute of Economic Research (HIER), Department of Economics

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Extent:	application/pdf
Series:	Harvard Institute of Economic Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1993
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005777239