Before revision: This paper develops a consistent  Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models against nonparametric alternatives . Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series methods.
After revision: This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models against nonparametric alternatives . Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series methods.