TESTS OF SPECIFICATION FOR PARAMETRIC AND SEMIPARAMETRIC MODELS

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops ne w specification tests using the general framework. In particular, spec ification tests for semiparametric partially linear regression and sam ple selection models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results con cerning the stochastic equicontinuity or weak convergence of normalize d sums of stochastic processes.