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The Bierens test for certain nonstationary models

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  • Kasparis, Ioannis

Abstract

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.

Suggested Citation

  • Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
  • Handle: RePEc:eee:econom:v:158:y:2010:i:2:p:221-230
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    References listed on IDEAS

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    6. de Jong, Robert M., 2004. "Addendum To," Econometric Theory, Cambridge University Press, vol. 20(03), pages 627-635, June.
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    13. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
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    Cited by:

    1. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
    2. Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017. "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, pages 104-117.
    3. Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, pages 270-284.
    4. Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 20/12, Monash University, Department of Econometrics and Business Statistics.

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