ARMAX model specification testing, with an application to unemployment in the Netherlands

DOI10.1016/0304-4076(87)90086-8zbMath0621.62106OpenAlexW2791675963MaRDI QIDQ1090051

Herman J. Bierens

Publication date: 1987

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1871/11860

zbMATH Keywords

time seriesconditional expectationGranger causalitymisspecificationstrictly stationaryARMAX model specificationNetherlands unemployment ratenew model specification testrational expectations - natural rate hypothesisvector ARMAX model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

ARMAX model specification testing, with an application to unemployment in the Netherlands, Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts, Testing for multivariate volatility functions using minimum volume sets and inverse regression, Consistent GMM Residuals-Based Tests of Functional Form, The Bierens test under data dependence, Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks, Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests, TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS, The Bierens test for certain nonstationary models

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