Xu Cheng “ Uniform Inference in Nonlinear Models with Mixed Identification Strength ” PIER Working Paper 14-018

@inproceedings{Cheng2014XuC,
  title={Xu Cheng “ Uniform Inference in Nonlinear Models with Mixed Identification Strength ” PIER Working Paper 14-018},
  author={Xu Cheng},
  year={2014}
}
The paper studies inference in nonlinear models where identification loss presents in multiple parts of the parameter space. For uniform inference, we develop a local limit theory that models mixed identification strength. Building on this non-standard asymptotic approximation, we suggest robust tests and confidence intervals in the presence of non… CONTINUE READING