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Improving Some Instrumental Variables Test Procedures

Published online by Cambridge University Press:  18 October 2010

Michael A. Magdalinos
Michael A. Magdalinos
Affiliation:
Athens School of Economics and Business Science
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Abstract

This paper is concerned with Cornish–Fisher corrections of some instrumental variables test statistics. The tests based on the corrected statistics have size with error of a smaller order of magnitude than the original tests. Symmetric Edgeworth-corrected confidence regions are also defined for the structural parameters. All these corrections are given as analytic formulas that require only limited information, so their implementation is a relatively easy task.

Type
Articles
Information
Econometric Theory , Volume 1 , Issue 2 , August 1985 , pp. 240 - 262
Copyright
Copyright © Cambridge University Press 1985

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References

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