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A Consistent Test for Model Specification of Time Series Regressions

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  • Bierens, Herman

Abstract

Given the specification of the lag length and functional form of a (non)linear time series regression we shall propose a consistent test of the null hypothesis that the expectation of the error conditional on the explanatory variables and all lagged explanatory variables equals zero with probability 1. This null hypothesis is tested against the alternative hypothesis that the null is false. The test involved is a generalisation of a test proposed in Bierens [3].

Suggested Citation

  • Bierens, Herman, 1982. "A Consistent Test for Model Specification of Time Series Regressions," University of Amsterdam, Actuarial Science and Econometrics Archive 293063, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293063
    DOI: 10.22004/ag.econ.293063
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    Research Methods/ Statistical Methods;

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