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Implementing tests with correct size in the simultaneous equations model
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DOI：10.1177/1536867X0300300104.png)
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摘要
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In this paper, we propose a fix to the 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 implement these tests in Stata are also introduced.
Keyword:
instrumental variables
weak instruments
similar tests
score test
Wald test
likelihood-ratio test
confidence regions
2SLS estimator
LIML estimator
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被引数:
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ECONOMETRICA
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