Calzolari, Giorgio and Panattoni, Lorenzo (1987): Finite sample performance of the robust Wald test in simultaneous equation systems. Published in: Advances in Econometrics, ed. by G.F.Rhodes Jr. and T.B.Fomby , Vol. 7, No. Greenwich: JAI Press Inc. (1988): pp. 163191.
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Abstract
The estimator of the coefficient covariance matrix proposed in White (1982)can be used to robustify the classical Wald test. Sampling experiments recently performed on linear regressions and simultaneous equation models, however, suggest that such an estimator tends to underestimate the covariance matrix if the model is correctly specified. In the classical framework of simultaneous equation systems, this paper aims at investigating the consequences of the use of robust covariance matrix estimator in the Wald test, when there is no misspecification.
Item Type:  MPRA Paper 

Original Title:  Finite sample performance of the robust Wald test in simultaneous equation systems 
Language:  English 
Keywords:  Simultaneous equations; Wald test; robust covariance matrix estimator; Monte Carlo 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C30  General 
Item ID:  24847 
Depositing User:  Giorgio Calzolari 
Date Deposited:  10. Sep 2010 15:59 
Last Modified:  02. Jan 2016 03:33 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/24847 
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Finite sample performance of the robust Wald test in simultaneous equation systems. (deposited 28. May 2010 06:36)
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