英国财政研究所（IFS）：用广义的比伦斯最大统计量对条件矩限制确定的参数的推断（英文版）

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or irrelevant. Building on Bierens (1990), we propose penalized maximum statistics and combine bootstrap inference with model selection. Our ∗This is a revised version of the ArXiv:2008.11140 paper entitled