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...

Previously, to fit an almost-ideal demand system in Stata, one would have to use the nlsur command and write a function evaluator program as described in [R] nlsur and Poi (2008, Stata Journal 8: 554–556). In this article, I introduce the command quaids, which obviates the need for any...

The nlsur command is better suited to demand-system estimation than the suite of ado-fifies provided in Poi (2002, Stata Journal 2: 403–410) because it is faster and requires only one ancillary ado-file. This article replicates the results presented in Poi (2002) by using nlsur instead of ml.

The two-stage least-squares (2SLS) instrumental variables estimator is commonly used to address endogeneity. However, the estimator suffers from bias that is exacerbated when the instruments are only weakly correlated with the en- dogenous variables and when many instruments are used. In this...

We consider inference in the linear regression model with one endoge- nous variable and potentially weak instruments. We construct confidence sets for the coefficient on the endogenous variable by inverting the Anderson-Rubin, Lagrange multiplier, and conditional likelihood-ratio tests. Our...

This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly...

This paper considers tests which maximize the weighted average power (WAP). The focus is on determining WAP tests subject to an uncountable number of equalities and/or inequalities. The unifying theory allows us to obtain tests with correct size, similar tests, and unbiased tests, among others....

We evaluate Angrist and Krueger (1991) and Bound, Jaeger, and Baker (1995) by constructing reliable confidence regions around the 2SLS and LIML estimators for returns-to-schooling regardless of the quality of the instruments. The results indicate that the returns-to-schooling were between 8 and...

This paper considers the problem of conducting inference on the regression coeffcient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper...