Maulding the method of moments into kinky least squares

The major challenge of econometrics is assessing the essentials of relationships between empirical phenomena, where this has to be based on data which could not be collected from controlled experiments. This calls for inference procedures which can handle both exogenous and endogenous explanatory variables. For proper interpretation of econometric inference various assumptions of a technical statistical nature should hold, whereas for some of these conditions their validity cannot be corroborated. Therefore, they simply have to be adopted, either on the basis of conventions or other often highly subjective convictions. In this note we demonstrate that some of these crucial but statistically unverifiable assumptions can be replaced by others, in order to make inferences not only more credible, but by the same stroke more robust, efficient and accurate as well.