The Bierens test for certain nonstationary models

DOI10.1016/j.jeconom.2010.01.008zbMath1431.62391OpenAlexW2084604783MaRDI QIDQ736671

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

integrable modelsunit rootlocal timenonlinear cointegrationconsistent testfunctional form misspecificationBierens testpredictability of stock returnstest of functional form

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items

Specification testing for nonlinear multivariate cointegrating regressions, Testing the adequacy of semiparametric transformation models, COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE, Model checks for nonlinear cointegrating regression, Dynamic misspecification in nonparametric cointegrating regression, Nonstationary nonlinear quantile regression, Nonparametric predictive regression

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