The traditional M test requires a consistent estimation of the asymptotic variancecovariance matrix of the estimated moments (the AVC matrix). By extending the approach of Kiefer, Vogelsang, and Bunzel (KVB; 2000, Econometrica), Kuan and Lee (KL; 2006, Journal of the American Statistical Association) contributed a new type of M test without the AVC matrix estimation but with recursive model est...