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Armax model specification testing, with an application to unemployment in the Netherlands

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  • Bierens, H.J.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

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Bibliographic Info

Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0026.

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Date of creation: 1986
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Handle: RePEc:dgr:vuarem:1986-26

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Web page: http://www.feweb.vu.nl

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References

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  1. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  2. Barro, Robert J, 1978. "Unanticipated Money, Output, and the Price Level in the United States," Journal of Political Economy, University of Chicago Press, vol. 86(4), pages 549-80, August.
  3. Sargent, Thomas J & Wallace, Neil, 1975. ""Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 241-54, April.
  4. Robert J. Barro & Mark Rush, 1980. "Unanticipated Money and Economic Activity," NBER Chapters, in: Rational Expectations and Economic Policy, pages 23-73 National Bureau of Economic Research, Inc.
  5. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  6. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
  7. Bierens, Herman J., 1988. "ARMA Memory Index Modeling of Economic Time Series," Econometric Theory, Cambridge University Press, vol. 4(01), pages 35-59, April.
  8. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
  9. Pesando, James E, 1975. "A Note on the Rationality of the Livingston Price Expectations," Journal of Political Economy, University of Chicago Press, vol. 83(4), pages 849-58, August.
  10. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
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Cited by:
  1. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  3. Polonik, Wolfgang & Yao, Qiwei, 2008. "Testing for multivariate volatility functions using minimum volume sets and inverse regression," Journal of Econometrics, Elsevier, vol. 147(1), pages 151-162, November.
  4. Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers 0406, Florida International University, Department of Economics.
  5. Dudek, SÅ‚awomir, 2008. "Consumer Survey Data and short-term forecasting of households consumption expenditures in Poland," MPRA Paper 19818, University Library of Munich, Germany.
  6. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  7. Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
  8. Jonathan Hill, 2006. "Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form," Working Papers 0608, Florida International University, Department of Economics.
  9. Broersma, L., 1991. "The relation between unemployment and interest rate : application of an ARX approach," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  10. Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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