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Implementing Tests with Correct Size in the Simultaneous Equation Model

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Marcelo J. Moreira
Brian P. Poi

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Abstract

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 implelment these tests in Stata are also introduced.

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File URL: http://www.economics.harvard.edu/pub/hier/2003/HIER1993.pdf
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Paper provided by Harvard - Institute of Economic Research in its series Harvard Institute of Economic Research Working Papers with number 1993.

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Date of creation: 2003
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Handle: RePEc:fth:harver:1993

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Web page: http://www.economics.harvard.edu/journals/hier
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  1. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
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  1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers 0706, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
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