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Consistent model specification tests. (English) Zbl 0549.62076
Summary: 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.

MSC:
62P20 Applications of statistics to economics
62J02 General nonlinear regression
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