Model specification testing of time series regressions

DOI10.1016/0304-4076(84)90025-3zbMath0563.62064OpenAlexW2014790481MaRDI QIDQ1057606

Herman J. Bierens

Publication date: 1984

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90025-3

zbMATH Keywords

numerical exampleconsistencyconditional expectationmartingale differencesregressionstrictly stationarymodel specification testnon-stationary casevector time series process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

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