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 implement these tests in Stata are also introduced

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Year of publication:	2003
Authors:	Moreira, Marcelo J. ; Poi, Brian P.
Publisher:	[S.l.] : SSRN
Subject:	Mehrgleichungsmodell \| Multiple equation model \| Statistischer Test \| Statistical test \| Theorie \| Theory

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2003 erstellt
Other identifiers:	10.2139/ssrn.373120 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014090786