In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment...

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...