finite-sample lower bound function for the probability that a CS constructed using a two-sided invariant similar test has … close,” say 0005 or less, to this lower bound function. This implies that the CLR test is not always very close to the two … hand, the paper establishes the finite-sample optimality of the CLR test when the correlation between the structural and …

robust to both misspecification and weak identification, hence its name. The minimizer is the so‐called pseudo‐true value … work where misspecification and weak identification are common, we use the DRLM test to analyze: the risk premia in Adrian …We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of …

variety of test statistics as functions of eight mutually independent random variables and two nuisance parameters. The … plus or minus one. This makes it impossible to perform reliable inference near the point at which the limit is ill …-defined. Several bootstrap procedures are proposed. They alleviate the problem and allow reliable inference when the instruments are …

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; where …

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, where k …