The Bierens test under data dependence

被引：47

作者：

deJong, RM

机构：

[1] Department of Econometrics, Tilburg University

来源：

JOURNAL OF ECONOMETRICS | 1996年 / 72卷 / 1-2期

关键词：

model specification test; time series; stochastic equicontinuity; asymptotic statistics;

D O I：

10.1016/0304-4076(94)01712-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper generalizes the consistent model specification lest 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.

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页码：1 / 32

页数：32

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