The artificial neural network (ANN) test of Lee et al. (Journal of Econometrics 56, 269–290, 1993) uses the ability of the ANN activation functions in the hidden layer to detect neglected functionalmisspecification. As the estimation of the ANN model is often quite difficult, LWG...

This paper makes a simple but previously neglected point with regard to an empirical application of the test of White (1989) and Lee, White and Granger (LWG, 1993), for neglected nonlinearity in conditional mean, using the feedforward single layer artificial neural network (ANN). Because the...