Location: 368A Heady

Description: Anna Mikusheva

"Conditional Inference with a Functional Nuisance Parameter"

Abstract: This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter.  We introduce a sufficient statistic for this nuisance parameter  in a Gaussian problem and propose conditional tests. These conditional tests have uniformly correct asymptotic size for a large class of models and test statistics.  We apply our approach to construct tests based on quasi-likelihood ratio statistics, which we show are efficient in strongly identified models and perform well relative to existing alternatives in two examples.