This paper examines the problem of weak identification in maximum likelihood, motivated by problems with estimation and inference a multi-dimensional, non-linear DSGE model. We suggest a test for a simple hypothesis concerning the full parameter vector which is robust to weak identification. We...

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...