A Test for Model Specification of Nonlinear Time Series Regressions
1981-11
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A Test for Model Specification of Nonlinear Time Series Regressions
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1981-11
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Center for Economic Research, Department of Economics, University of Minnesota
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Working Paper
Abstract
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.
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Previously Published Citation
Bierens, H.J., (1981), "A Test for Model Specification of Nonlinear Time Series Regressions", Discussion Paper No. 156, Center for Economic Research, Department of Economics, University of Minnesota.
Suggested citation
Bierens, Herman J.. (1981). A Test for Model Specification of Nonlinear Time Series Regressions. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55131.
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