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...

We propose computing HAC covariance matrix estimators based on one-stepahead forecasting errors. It is shown that this estimator is consistent and has smaller bias than other HAC estimators. Moreover, the tests that rely on this estimator have more accurate sizes without sacrificing its power.

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...