We develop methods for testing the hypothesis that an econometric model is underidentified and inferring the nature of the failed identification. By adopting a generalizedmethod of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric...

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and stochastic discount factor (SDF) methods, with centered and uncentered versions of the latter. We show that unlike standard two-step or iterated generalized method of moments (GMM)...

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...