We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e., the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic χ-super-2 distribution...

We propose a novel statistic for conducting joint tests on all the structural parameters in instrumental variables regression. The statistic is straightforward to compute and equals a quadratic form of the score of the concentrated log-likelihood. It therefore attains its minimal value equal to...