The Bierens test for certain nonstationary models

Abstract

We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis 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 that the Lebesgue measure can be used instead in a meaningful way. The resultant test is consistent against all I-regular alternatives. © 2010 Elsevier B.V. All rights reserved.