Simple techniques for the graphical display of simulation evidence concerning the size and power of hypothesis tests are developed and illustrated. Three types of figures - called P value plots, P value discrepancy plots, and size-power curves - are discussed. Some Monte Carlo experiments on the...

We develop a new form of the information matrix test for a wide variety of statistical models, and present full details for the special case of univariate nonlinear regression models. Chesher (1984) showed that the implicit alternative of the information matrix test is a model with random...

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics--Student's t, Anderson--Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...

Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous‐equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson–Rubin (AR) test. The AR confidence sets that result have correct coverage...

We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting <italic>t</italic> statistics or the...

We consider several issues related to what Hausman (1978) called "specification tests", namely tests designed to verify the consistency of parameter estimates. We first review a number of results about these tests in linear regression models, and present some new material on their distribution...

In a recent paper, Plosser, Schwert and White (1982) proposed a general test for model misspecification based on a comparison of estimates of the model in levels and first-differences. We demonstrate that this test is equivalent to a certain F test for omitted variables. The latter test has...