This article addresses statistical inference in models defined by conditional moment restrictions. Our motivation comes from two observations. First, generalized method of moments, which is the most popular methodology for statistical inference for these models, provides a unified methodology...

This paper considers testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has been typically tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or...