This paper extends Kiefer, Vogelsang, and Bunzel (2000) and Kiefer and Vogelsang (2002b) to propose a class of over-identifying restrictions (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. These OIR tests do not require consistent estimation of the...

We propose new over-identifying restriction (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. The proposed tests do not require consistent estimation of the asymptotic covariance matrix and hence avoid choosing the bandwidth in nonparametric kernel...