Model Specification Tests and Artificial Regressions

This work was supported, in part, by a grantfrom the Social Sciences and Humanities Research Council of Canada. The paper was written mostly while the author was on sabbatical at the University of California, San Diego. I am grateful to everyone there for providing such a hospitable environment, and to Anil Bera, Russell Davidson, David Hendry, Timo Teriisvirta, Pravin Trivedi, three referees, and seminar participants at the University of -Indiana for helpful comments on earlier versions.

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