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Testing for nonnested conditional moment restrictions via conditional empirical likelihood

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Asymptotic F tests under possibly weak identification

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Testing identification strength

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Testing distributional assumptions using a continuum of moments

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Finite sample properties of the GMM Anderson-Rubin test

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GMM weighting matrices incross-sectional asset pricing tests

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Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...

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A J test for dynamic panel model with fixed effects, and nonparametric spatial and time dependence

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