We develop methods for testing the hypothesis that an econometric model is underidentified and inferring the nature of the failed identification. By adopting a generalizedmethod of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric...

"This paper shows how the cross-equation restrictions delivered by the hypothesis of rational expectations can serve to solve the aliasing identification problem. It is shown how the rational expectations restrictions uniquely identify the parameters of a continuous time model from statistics of...