The Bierens test for certain nonstationary models

DOI10.1016/J.JECONOM.2010.01.008MaRDI QIDQ736671zbMATH OpenOpenAlexFDO

Authors Ioannis Kasparis

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

zbMATH Keywords

local timeintegrable modelsnonlinear cointegrationunit rootconsistent testfunctional form misspecificationBierens testpredictability of stock returnstest of functional form

Mathematics Subject Classification ID

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)

Recommendations

• The Bierens test under data dependence
• Model specification testing of time series regressions
• Stationarity testing under nonlinear models. Some asymptotic results
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• Hypothesis testing for nearly nonstationary autoregressive models

Cites work

• scientific article; zbMATH DE number 3638844 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3190627 (Why is no real title available?)
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• ARMAX model specification testing, with an application to unemployment in the Netherlands
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Asymptotic Theory of Integrated Conditional Moment Tests
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Model specification testing of time series regressions
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• Nonlinear Regressions with Integrated Time Series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonlinearity, nonstationarity, and spurious forecasts
• Nonstationary Binary Choice
• Predicting the equity premium with dividend ratios
• The Bierens test under data dependence

Cited in

(8)

• Dynamic misspecification in nonparametric cointegrating regression
• Tests of the multiperiod two-parameter model
• Nonstationary nonlinear quantile regression
• Nonparametric predictive regression
• Model checks for nonlinear cointegrating regression
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Specification testing for nonlinear multivariate cointegrating regressions
• Testing the adequacy of semiparametric transformation models

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