Since the path-breaking work of Karl Pearson the 20th century saw significant advance in parametric statistical and econometric hypothesis-testing procedures [see Bera (2000) for an excellent survey]. A problem with the parametric testing procedures is that the tests may not be consistent under the mis-specified alternative hypotheses. In the last two decades a rich literature has developed on constructing consistent model specification tests using nonparametric estimation techniques. Bierens (1982) was the first to provide a consistent conditional moment test for model mis-specification. Ullah (1985) first suggested the construction of a model specification test using the nonparametric estimation technique. A nonparametric specification test for time-series data was first proposed by Robinson (1989).