Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015
This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...