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The Bierens Test for Certain Nonstationary Models

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  • Ioannis Kasparis

Abstract

We adapt the Bierens (Econometrica, 1990) test to the I-regular models of Park and Phillips (Econometrica, 2001). Bierens (1990) defines the test hypoth- esis 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 Lebesgue measure can be used instead in a meaningful way. The resultant test is consistent against all I-regular alternatives.

Suggested Citation

  • Ioannis Kasparis, 2007. "The Bierens Test for Certain Nonstationary Models," University of Cyprus Working Papers in Economics 4-2007, University of Cyprus Department of Economics.
    • Handle: RePEc:ucy:cypeua:4-2007
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