Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown. We construct tests for the independence of e and X, based on n independent copies of (X; Y). The testing procedures are based on differences of neighboring Y's. We establish asymptotic results...

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the...