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Consistent model specification tests
Authors:Herman J Bierens
Institution:Foundation of Economic Research of the University of Amsterdam, 1011 NH Amsterdam, The Netherlands
Abstract:In this paper we propose two consistent tests for functional form of nonlinear regression models without employing specified alternative models. The null hypothesis is that the regression function equals the conditional expectation function, which is tested against the alternative hypothesis that the null is false. These tests are based on a Fourier transform characterization of conditional expectations.
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