NONPARAMETRIC REGRESSION TESTS BASED ON LEAST-SQUARES

This paper proposes tests on semiparametric models based on the sum of squared residuals from a least-squares procedure. Smoothness conditions are imposed on the nonparametric portion of the model to obtain asvmptotic normality of the sum of squared residuals. The approach yields tests of specification, significance, smoothness and concavity and allows for heteroskedastic residuals.