The Bierens test for certain nonstationary models

Ioannis Kasparis

Journal of Econometrics, 2010, vol. 158, issue 2, 221-230

Abstract: We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition holds with probability one. The probability measure used is that induced by the variables in the model, that are assumed to be strictly stationary. Our framework is nonstationary and this approach is not always applicable. We show that the Lebesgue measure can be used instead in a meaningful way. The resultant test is consistent against all I-regular alternatives.

Keywords: Bierens; test; Consistent; test; Functional; form; misspecification; Integrable; models; Local; time; Nonlinear; cointegration; Test; of; functional; form; Predictability; of; stock; returns; Unit; root (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:158:y:2010:i:2:p:221-230

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