We use identification robust tests to show that difference, level and non-linear moment conditions, as proposed by Arellano and Bond (1991), Arellano and Bover (1995), Blundell and Bond (1998) and Ahn and Schmidt (1995) for the linear dynamic panel data model, do not separately identify the...

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method of moments. The pseudo-true value is defined as the minimizer of the population continuous updating objective...

The reliability of traditional asset pricing tests depends on: (1) correlations between asset returns and factors; (2) the time-series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (1)-(2) are often such that traditional tests cannot be...