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An alternative series based consistent model specification test. (English) Zbl 1255.62119
Summary: We present a series based test for regression functional forms. Compared with the tests of Y. Hong and H. White [Econometrica 63, No. 5, 1133-1159 (1995; Zbl 0941.62125)], our test imposes weaker conditions on the approximating base functions, avoids non-zero center terms and allows for optimal smoothing.

MSC:
62G08 Nonparametric regression and quantile regression
62G10 Nonparametric hypothesis testing
62P20 Applications of statistics to economics
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