This paper and its sequel, Andrews [4], extend the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, models with covariates. The present paper introduced the test and discusses a wide variety of applications. Andrews [4] establishes the asymptotic...

This paper extends the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, to models with covariates. The paper establishes the asymptotic distribution of the test statistic under the null and local alternatives, when the test statistic is based on...

This paper presents a nonparametric and distribution-free estimator for the function h*, of observable exogenous variables, x, in the generalized regression model, y-G(h*(x), mu). The method does not require a parametric specification for either the function h* or for the distribution of the...