Hahn, Jinyong; Newey, Whitney K.; Smith, Richard J. - 2011 - This draft: May 2011
relevant Jacobian matrix obtained as the second order derivative of the moment indicator in a leading case. GMM and GEL tests … difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the … conditional moment context. -- GMM ; GEL ; Unconditional Moments ; Conditional Moments ; Score and LM Tests ; Information Matrix …