The Bierens test for certain nonstationary models
DOI10.1016/J.JECONOM.2010.01.008zbMATH Open1431.62391OpenAlexW2084604783MaRDI QIDQ736671FDOQ736671
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://papers.econ.ucy.ac.cy/RePEc/papers/07-04.pdf
local timeintegrable modelsnonlinear cointegrationunit rootconsistent testfunctional form misspecificationBierens testpredictability of stock returnstest of functional form
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)
Cites Work
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Cited In (8)
- Tests of the multiperiod two-parameter model
- Dynamic misspecification in nonparametric cointegrating regression
- Nonstationary nonlinear quantile regression
- Nonparametric predictive regression
- Model checks for nonlinear cointegrating regression
- Specification testing for nonlinear multivariate cointegrating regressions
- COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
- Testing the adequacy of semiparametric transformation models
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