Journal article
Assessing the magnitude of the concentration parameter in a simultaneous equations model
DS Poskitt, CL Skeels
Econometrics Journal | Published : 2009
Abstract
This paper provides the practitioner with a method of ascertaining when the concentration parameter in a simultaneous equations model is small. We provide some exact distribution theory for a proposed statistic and show that the statistic possesses the minimal desirable characteristics of a test statistic when used to test that the concentration parameter is zero. The discussion is then extended to consider how to test for weak instruments using this statistic as a basis for inference. We also discuss the statistic's relationship to various other procedures that have appeared in the literature. © The Author(s). Journal compilation © Royal Economic Society 2009.
Grants
Awarded by Australian Research Council
Funding Acknowledgements
The authors would like to thank the editor, Frank Windmeijer, and three anonymous referees for their helpful and constructive comments. Both authors wish to acknowledge the financial support of the Australian Research Council under grant DP0771445.