This essay provides a brief review about bootstrap higher order refinements for tests based on generalized method of moments estimators. First, we briefly describe the asymptotic behavior of two-step GMM estimators. Second, we give a heuristic argument for why inference based on bootstrap...

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests which instead have power against generic nonlinear alternatives. A Monte Carlo study shows...