Uniform Inference in Nonlinear Models with Mixed Identification Strength

Xu Cheng

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: 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-identified and weakly identified nuisance parameters. In particular, this covers applications where some nuisance parameters are non-identified under the null (Davies (1977, 1987)) and some nuisance parameters are subject to a full range of identification strength. The asymptotic results involve both inconsistent estimators that depend on a localization parameter and consistent estimators with different rates of convergence. A sequential argument is used to peel the criterion function based on identification strength of the parameters. The robust test is uniformly valid and non-conservative.

Keywords: Mixed rates; nonlinear regression; robust inference; uniformity; weak identification. (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2014-05-08
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:14-018

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