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Browsing by Author "Bierens, Herman J."

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    A Test for Model Specification in the Absence of Alternative Hypothesis
    (Center for Economic Research, Department of Economics, University of Minnesota, 1981-10) Bierens, Herman J.
    In recent papers ([6], [4]) several tests have been proposed for testing the truth of a nonlinear specification of a regression model against one or more well-specified alternative hypothesis. In this paper we first show by an example that these tests may be defective if all the hypotheses are false, and then we propose a new test that does not need alternative hypotheses in the sense that we only test whether or not a given specification is true.
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    A Test for Model Specification of Nonlinear Time Series Regressions
    (Center for Economic Research, Department of Economics, University of Minnesota, 1981-11) Bierens, Herman J.
    In a previous paper [3] we have proposed a test for model specification in the absence of alternative hypotheses. The asymptotic properties of this test have been derived under the i.i.d. assumption., In the present paper we shall extend and modify these results to simultaneously testing the truth of the functional form of the model and the absence of autocorrelation of the errors of nonlinear and nonstationary time series regressions.