The Bierens test for certain nonstationary models
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Publication:736671
DOI10.1016/j.jeconom.2010.01.008zbMath1431.62391OpenAlexW2084604783MaRDI QIDQ736671
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
integrable modelsunit rootlocal timenonlinear cointegrationconsistent testfunctional form misspecificationBierens testpredictability of stock returnstest of functional form
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)
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