Lee, Wei-Ming; Kuan, Chung-Ming - Institute of Economics, Academia Sinica - 2006
We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000, Econometrica) and Kiefer and Vogelsang (2002b, Econometric Theory) to construct a class of robust tests for over-identifying restrictions in the context of GMM. The proposed test does not require consistent estimation of the...