A Monte Carlo Study of Structural Estimator Distributions After Performance of Likelihood Ratio Pre-Tests Chapter uri icon

abstract

  • This study is concerned with the effect of an identifiability pretest on the locations and shapes of conditional distributions of structural coefficient estimators in a simultaneous equations model. We examine whether there are important cases in which the identifiability test statistic and (correctly) restricted structural coefficient estimators such as 2SLS and 3SLS are “approximately” statistically independent over a broad range of Type I error levels of for the test statistic. The results of the Monte Carlo experiments based on the Klein model I are not conclusive, though they tend to support approximate independence in most cases.

author list (cited authors)

  • Basmann, R. L., & Hwang, H.

editor list (cited editors)

  • Carter, R., Dutta, J., & Ullah, A.

Book Title

  • Contributions to Econometric Theory and Application

publication date

  • January 1, 1990 11:11 AM