ESTIMATION AND INFERENCE WITH WEAK , SEMI-STRONG , AND STRONG IDENTIFICATION By

@inproceedings{Andrews2010ESTIMATIONAI,
  title={ESTIMATION AND INFERENCE WITH WEAK , SEMI-STRONG , AND STRONG IDENTIFICATION By},
  author={Donald W. K. Andrews and Xu Cheng},
  year={2010}
}
1 This paper analyzes the properties of standard estimators, tests, and confidence sets (CS's) for parameters that are unidentified or weakly identified in some parts of the parameter space. The paper also introduces methods to make the tests and CS's robust to such identification problems. The results apply to a class of extremum estima-tors and corresponding tests and CS's that are based on criterion functions that satisfy certain asymptotic stochastic quadratic expansions and that depend on… CONTINUE READING