We discuss statistical inference problems associated with identification and testability in econometrics, and we …

; consequently, the problem of evaluating joint rejection probabilities arises frequently in econometrics and statistics. In this …

scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt … is unspecified. We also make a theoretical comparison of our tests with Jarque and Bera (1980) and OPG regression tests …