A simple framework for nonparametric specification testing

This paper presents a simple framework for testing the specification of par ametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test sta tistics are asymptotically normal under the null. With an appropriate choic e of the weight matrix, the tests are shown to be consistent and to have go od local power. Specific implementations involving matrices of bin and kern el weights are discussed. Finite sample properties are explored in simulati ons. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification . C14; C12.