Econometric Theory
- Econometric Theory / Volume 1 / Issue 02 / August 1985, pp 240-262
- Copyright © Cambridge University Press 1985
- DOI: http://dx.doi.org/10.1017/S0266466600011166 (About DOI), Published online: 18 October 2010
Articles
Improving Some Instrumental Variables Test Procedures
Michael A. Magdalinosa1
a1 Athens School of Economics and Business Science
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.
