Abstract:

Implementing Conditional Tests with Correct Size in the Simultaneous Equations Model

Author: Marcelo Moreira and Brian P. Poi

Keywords: Instrumental variables, weak instruments, similar tests, score test, Wald test, likelihood ratio test, confidence regions, 2SLS estimator, LIML estimator

Reference: "Implementing Conditional Tests with Correct Size in the Simultaneous Equations Model," M. Moreira and B. Poi, Stata Journal, 2001, 1:1, 1-15.

Description: 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.

Platforms: Stata

Support: Please contact the author with questions or suggestions at moreira@kuznets.fas.harvard.edu.

Download in STATA:

net from http://post.economics.harvard.edu/faculty/moreira/codes
net describe CLRv2
net install CLRv2

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Archive file: moreira05.zip

Manifest:

123240 Nov  9 10:16 article.pdf
   169 Nov  9 10:09 condgraph.adoH
   118 Nov  9 10:09 condgraph.hlp
 31570 Nov  9 10:09 condivreg.ado
  4321 Nov  9 10:09 condivreg.hlp
   234 Nov  9 10:09 condtest.ado
   116 Nov  9 10:09 condtest.hlp

Archived by Rowilma Balza, Nov. 9, 2005