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 (...)

We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the <I>K</I> 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 (...)

We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the <I>K</I> 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 (...)<P>This discussion paper...</p></i>