Implementing Conditional Tests with Correct Size
in the Simultaneous Equations Model
Author: Marcelo Moreira and Brian P. Poi
Copyright (c) 2003 Stata Corporation. All Rights Reserved.
Posted with permission of the
and the authors.
Instrumental variables, weak instruments, similar tests, score test,
Wald test, likelihood ratio test, confidence regions, 2SLS estimator,
"Implementing Conditional Tests with Correct Size
in the Simultaneous Equations Model," M. Moreira and B. Poi,
Stata Journal, 2001, 1:1, 1-15.
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 introduced.
Please contact the author with questions or suggestions at
Download in STATA:
net from http://post.economics.harvard.edu/faculty/moreira/codes
net describe CLRv2
net install CLRv2
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Archived by Rowilma Balza, Nov. 9, 2005