Consistent specification testing for conditional moment restrictions
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This paper introduces specification tests for conditional moment restrictions. The proposed tests are generalizations of the Kolmogorov-Smirnov and Cramér-von Mises tests and are consistent against all alternatives to the null hypothesis, powerful against \(1/n\) local alternatives and not dependent on any smoothing parameter. A nonparametric bootstrap procedure based on a recentered criterion function is suggested to obtain critical values for the tests and is justified asymptotically.
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