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...

Many nonlinear Econometric models show evidence of weak identification, including many Dynamic Stochastic General Equilibrium models, New Keynesian Phillips curve models, and models with forward-looking expectations. In this paper we consider minimum distance statistics and show that in a broad...