Implementing tests with correct size in the simultaneous equations model

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.


Issue Date:
2002
Publication Type:
Journal Article
DOI and Other Identifiers:
st0033 (Other)
PURL Identifier:
http://purl.umn.edu/116032
Published in:
Stata Journal, Volume 03, Number 1
Page range:
57-70
Total Pages:
14

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 Record created 2017-04-01, last modified 2017-08-26

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