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The Bierens test under data dependence
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DOI：10.1016/0304-4076(94)01712-3.png)
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Abstract
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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.
Keywords:
model specification test
time series
stochastic equicontinuity
asymptotic statistics
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