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...

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...