Title of article
The Bierens test under data dependence
Author/Authors
de Jong، نويسنده , , Robert M.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 1996
Pages
32
From page
1
To page
32
Abstract
This paper generalizes the consistent model specification test proposed by Bierens to the framework of time series. The main problem encountered in this generalization is the fact that time series usually are functions of an infinite number of random variables. A simulation procedure that is capable of establishing asymptotically valid critical values for such a test is described.
Keywords
Model specification test , Time series , Stochastic equicontinuity , Asymptotic statistics
Journal title
Journal of Econometrics
Serial Year
1996
Journal title
Journal of Econometrics
Record number
1556572
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