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Comment

Published online by Cambridge University Press:  18 October 2010

W. Ploberger ,
M. Deistler ,
J. Rissanen  and
Christopher A. Sims
W. Ploberger
Affiliation:
University of Technology, Vienna
M. Deistler
Affiliation:
University of Technology, Vienna
J. Rissanen
Affiliation:
Almaden Research Center
Christopher A. Sims
Affiliation:
University of Minnesota, Minneapolis
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Extract

Professor Bierens' approach is definitely original and interesting. We think it might become important, in particular, for testing correct specification of models (even nonlinear) in the time series context. For example, his test in Section 6 is (to our knowledge) the first test of correct specification of a model which is consistent against all stationary alternatives. Usually, specification tests checking the structure of dependence are only designed to test against a finite-dimensional alternative. The critical points we make below should be seen in the light of our above statements.

Type
Comment on Bierens
Information
Econometric Theory , Volume 4 , Issue 1 , April 1988 , pp. 60 - 69
Copyright
Copyright © Cambridge University Press 1988

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References

REFERENCES

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