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 … functions. The SR-CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi-strong identification …

proposed by Papke and Wooldridge (1996). Consequently, a Wald test allows to discriminate between these two competing models. A … small scale Monte Carlo simulation demonstrates that the proposed Wald test is properly sized and equipped with higher power … than an alternative non-nested P-test. …

estimated by instrumental variables. We show that all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and … the three non-exact test statistics and a conditional version of the LR test. These use more efficient estimates of the … that the conditional LR test, bootstrapped using this new procedure when the sample size is not large, is probably the …

estimated by instrumental variables. We show that writing all the test statistics -- Student's t, Anderson-Rubin, the LM … for bootstrapping the three non-exact test statistics and also a new conditional bootstrap version of the LR test. These …

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 bootstrap test procedures are derived and their small sample properties are studied. The simulation study also … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. …