Econometrica: Nov 1990, Volume 58, Issue 6

A Consistent Conditional Moment Test of Functional Form

https://doi.org/0012-9682(199011)58:6<1443:ACCMTO>2.0.CO;2-E
p. 1443-1458

Herman J. Bierens

In this paper it will be shown that any conditional moment test of functional form of nonlinear regression models can be converted into a chi-square test that is consistent against all deviations from the null hypothesis that the model represents the conditional expectation of the dependent variable relative to the vector of regressors.

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