Kasparis, Ioannis - University of Cyprus Department of Economics - 2007
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...