Improving Some Instrumental Variables Test Procedures

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.

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Year of publication:	1985
Authors:	Magdalinos, Michael A.
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 1.1985, 02, p. 240-262
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008739912