Andrews, Isaiah; Mikusheva, Anna - In: Quantitative economics : QE ; journal of the … 6 (2015) 1, pp. 123-152
This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and inference in a multidimensional dynamic stochastic general equilibrium model. We show that two forms of the classical score (Lagrange multiplier) test for a simple hypothesis...
