New tests revolutionize nonparametric instrumental regression for accurate model specification.
The article introduces tests to check if a nonparametric instrumental regression model fits well. These tests use series estimators and can compare the model to different specifications. They can also test if the variables used in the model are independent. The tests work well when the model is correct and are reliable even with different models. The tests' distribution is known under the right model and when the model is wrong, the distribution is also known. The tests are consistent even when the sample size grows and the model changes slightly.