Before revision:  It is often the case that researchers do not know whether or not the idiosyncratic beta exists, or its strengths, and thus uniformity is essential for inferences.
After revision:  It is often the case that researchers do not know whether or not the idiosyncratic beta exists, or its strengths, and thus the inference about the characteristic effects should be valid uniformly over a broad class of data generating processes for idiosyncratic parameters. We construct our estimation and inference in a two-step continuous-time GMM framework.