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 …

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 …

test focuses on inference about a single coefficient, and the other on inference about two or more coefficients. We also …

a family of hypotheses under test. This correction is considerably more powerful than earlier multiple testing … procedures such as the Bonferroni and Holm corrections, given that it takes into account the dependence structure of the test …