We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000, Econometrica) and Kiefer and Vogelsang (2002b, Econometric Theory) to construct a class of robust tests for over-identifying restrictions in the context of GMM. The proposed test does not require consistent estimation of the...

We propose a new robust hypothesis test for (possibly nonlinear) constraints on Mestimators with possibly non-differentiable estimating functions. The proposed test employs a random normalizing matrix computed from recursive M-estimators to eliminate the nuisance parameters arising from the...