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The Bierens test for certain nonstationary models

  • Kasparis, Ioannis
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    We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition holds with probability one. The probability measure used is that induced by the variables in the model, that are assumed to be strictly stationary. Our framework is nonstationary and this approach is not always applicable. We show that the Lebesgue measure can be used instead in a meaningful way. The resultant test is consistent against all I-regular alternatives.

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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 158 (2010)
    Issue (Month): 2 (October)
    Pages: 221-230

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    Handle: RePEc:eee:econom:v:158:y:2010:i:2:p:221-230
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
    2. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
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    8. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
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    11. de Jong, Robert M., 2004. "Addendum To," Econometric Theory, Cambridge University Press, vol. 20(03), pages 627-635, June.
    12. Bierens, Herman J., 1987. "Armax model specification testing, with an application to unemployment in the Netherlands," Journal of Econometrics, Elsevier, vol. 35(1), pages 161-190, May.
    13. Kasparis, Ioannis, 2008. "Detection Of Functional Form Misspecification In Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1373-1403, October.
    14. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
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    17. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
    18. Bierens, Herman J., 1988. "ARMA Memory Index Modeling of Economic Time Series," Econometric Theory, Cambridge University Press, vol. 4(01), pages 35-59, April.
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