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

DOI10.1016/0304-4076(87)90086-8zbMath0621.62106MaRDI QIDQ1090051

Herman J. Bierens

Publication date: 1987

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

Full work available at URL: http://hdl.handle.net/1871/11860

zbMATH Keywords

time series; conditional expectation; Granger causality; misspecification; strictly stationary; ARMAX model specification; Netherlands unemployment rate; new model specification test; rational expectations - natural rate hypothesis; vector ARMAX model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

Related Items

ARMAX model specification testing, with an application to unemployment in the Netherlands, Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests, The Bierens test under data dependence, Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts

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