This paper fixes size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative confidence regions for the...

This paper examines the problem of weak identification in maximum likelihood, motivated by problems with estimation and inference a multi-dimensional, non-linear DSGE model. We suggest a test for a simple hypothesis concerning the full parameter vector which is robust to weak identification. We...

This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...