Yannick Guyonvarch (PSAE) joint with Alexis Derumigny (TU Delft) and Lucas Girard (CREST-ENSAE)   Parameters identified through moment conditions are ubiquitous in Econometrics (OLS, linear IV, quantile regression to name a few). The construction of confidence sets (CSs) for such parameters typically relies on the asymptotic normality of the Generalized Method of Moments (GMM) estimator. […]