The authors would like to thank the following people for their help and assistance: Roger Koenker <roger@ysidro.econ.uiuc.edu> for providing the chicken-and-egg data. Walter Kraemer <walterk@statistik.uni-dortmund.de> for providing free copies of "The Linear Regression Model under Test", Uwe Ligges <ligges@statistik.uni-dortmund.de> and for critically testing pre-release versions, Marcel Mackiewicz <Marcel.Mackiewicz@imbe.imed.uni-erlangen.de> for scanning the datasets, Giovanni Millo <Giovanni_Millo@generali.com> for providing the intial versions for nested and non-nested model comparison tests and most helpful discussions. David Mitchell <David.Mitchell@dotars.gov.au> for providing the intial version of the code for the Breusch-Godfrey test. Andrea Peters <andrea.peters@imbe.imed.uni-erlangen.de> for her comments on the documentation of `lmtest' and Jeffrey Racine <jracine@maxwell.syr.edu> for testing the package and providing helpful feedback that lead to considerable improvement of the code, Mark W. Watson <mwatson@princeton.edu> for providing the U.S. macroeconomic time series data.