Chen, Yi-Ting; Qu, Zhongjun - In: Econometric Reviews 34 (2015) 5, pp. 617-652
This paper proposes a new family of <italic>M</italic> tests building on the work of Kuan and Lee (2006) and Kiefer et al. (2000). The idea is to replace the asymptotic covariance matrix in conventional <italic>M</italic> tests with an alternative normalization matrix, constructed using moment functions estimated from (<italic>K</italic> + 1)...
