identification failure when the source of this identification failure is known. We examine models that may have a general deficient … rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes … underidentified and the identification status of individual parameters is not generally straightforward to characterize. We provide a …

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …

show that limiting distributions of test statistics under may not stochastically dominate those under . A multiple test on …. We illustrate the empirical relevance of our results through testing identification in linear IV models that allows for …

, if the break point is gleaned from the data. In this sense, applying a recursive tDF test to a unit root process which …, in line with Leybourne et al. (1998), some distortion in the Dickey-Fuller tDF test size, which depends on the break size …

in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics … and CIs based on a post-conservative model selection estimator …

This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a … critical value tests based on such a test statistic often have asymptotic size -- defined as the limit of the finite … with roots that may be close to unity, (vi) in models with lack of identification at some point(s) in the parameter space …

The effects on the standard LM stationarity test of an incorrect specification of an instantaneous break when the true …. A stationarity test is derived for the case of an exogeneously determined smooth transition trend obtaining its … sigmoid. An asymptotic power analysis for the proposed test (under logistic transition) is carried out, and results of a …