A new class of tests for overidentifying restrictions in moment condition models
A new class of tests for overidentifying restrictions in moment condition models
In this study, we propose a new class of tests for overidentifying restrictions in moment condition models, extending Neyman’s (1959 Neyman, J. (1959). Optimal asymptotic tests of composite statistical hypotheses. In: Grenander, U., ed., Probability and Statistics, New York: Wiley. [Google Scholar]) C(α) test for parameter hypotheses in maximum likelihood …