In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such...

A number of information-theoretic alternatives to GMM have recently been proposed in the literature. For practical use and general interpretation, the main drawback of these alternatives, particularly in the case of conditional moment restrictions, is that they rely on high dimensional convex...