Downloadable papers

Published and forthcoming papers

• Bierens, H. J. (1982): "Consistent Model Specification Tests", Journal of Econometrics 20, 1982, 105-134. [PDF]
• Bierens, H. J. (1983): "Sample Moments Integrating Normal Kernel Estimators of Density and Regression Functions", Sankhya 45, Series B, 160-192. [PDF]
• Bierens, H. J. (1984): "Model Specification Testing of Time Series Regressions", Journal of Econometrics 26, 323-353. [PDF]
• Bierens, H. J., and R. Hoever (1985): "Population Forecasting at the City Level: An Econometric Approach", Urban Studies 22, 83-90. [PDF]
• Bierens, H. J. (1987): "Kernel Estimators of Regression Functions", in: Truman F.Bewley (ed.), Advances in Econometrics: Fifth World Congress, Vol.I, Cambridge University Press, 99-144. [PDF]
• Bierens, H. J. (1988): "ARMA Memory Index Modeling of Economic Time Series (with discussion)", Econometric Theory 4, 35-59. [PDF]
• Bierens, H. J. (1990): "A Consistent Conditional Moment Test of Functional Form", Econometrica 58, 1443-1458. [PDF]
• Bierens, H. J., and W. Ploberger (1997): "Asymptotic Theory of Integrated Conditional Moment Tests", Econometrica 65, 1129-1151. [PDF]
• Bierens, H. J. (1997): "Nonparametric Cointegration Analysis", Journal of Econometrics 77, 379-404. [PDF1 (paper), PDF2 (separate appendix)]
• Bierens, H. J. (1997): "Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the U.S. Price Level and Interest Rate", Journal of Econometrics 81, 29-64. [PDF]
• Bierens, H. J., and N. R. Swanson (2000): "The Econometric Consequences of the Ceteris Paribus Condition in Economic Theory", Journal of Econometrics 95, 223-253. [PDF]
• Bierens, H. J. (2000): "Unit Roots", in: Badi Baltagi (Ed.), Companion in Theoretical Econometrics, Blackwell.
[PDF]
• Bierens, H. J. (2000): "Nonparametric Nonlinear Co-Trending Analysis, with an Application to Inflation and Interest in the U.S.", Journal of Business & Economic Statistics 18, 323-337. [PDF1 (paper), PDF2 (separate appendix) ]
• Bierens, H. J. (2001): "Complex Unit Roots and Business Cycles: Are They Real?", Econometric Theory 17, 962-983. [PDF]
• Bierens, H. J., and D. Ginther (2001): "Integrated Conditional Moment Testing of Quantile Regression Models", Empirical Economics 26, 307-324. [PDF (paper), data]
• Ferreira, R. T., H. J. Bierens and I. Castelar (2005): "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and Nonlinear Diffusion Index Models", EconomiA Selecta 6, 205-229. [PDF]
• Bierens, H. J. (2007): "Econometric Analysis of Linearized Singular Dynamic Stochastic General Equilibrium Models", Journal of Econometrics 236, 595-627. [PDF1 (paper), PDF2 (separate appendix), translation in Romenian]
• Carvalho, J.R., and H.J. Bierens (2007): "Conditional Treatment and Its Effect on Recidivism", Brazilian Review of Econometrics 27, 53-84. [PDF]
• Bierens, H. J., and J. R. Carvalho (2007): "Semi-Nonparametric Competing Risks Analysis of Recidivism", Journal of Applied Econometrics 22, 971-993. [PDF1 (paper), PDF2 (separate appendix)]
• Bierens, H. J. (2008): "Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification and Consistency Results", Econometric Theory 24, 749-794. [PDF]
• Bierens, H. J., and T. Kontuly (2008): "Testing the Regional Restructuring Hypothesis in Western Germany", Environment & Planning A 40, 1713-1727. [PDF]
• Bierens, H. J., and L. F. Martins (2010): "Time Varying Cointegration", Econometric Theory 26, 1453–1490. [PDF1 (paper), PDF2 (separate appendix)]
  For the Gauss code, follow the Research link on Luis Martins' web site. The test involved is also included in the latest version of EasyReg, as part of the Johansen cointegration module.
• Bierens, H. J., and J. R. Carvalho (2011): "Job Search, Conditional Treatment and Recidivism: The Employment Services for Ex-Offenders Program Reconsidered", The B.E. Journal of Economic Analysis & Policy 11, Issue 1 (Topics), Article 5. [PDF1 (paper), PDF2 (separate appendix)]
• Bierens, H. J., and H. Song (2012): "Semi-Nonparametric Estimation of Independently and Identically Repeated First-Price Auctions via an Integrated Simulated Moments Method", Journal of Econometrics 168, 108-119. [PDF]
• Bierens, H. J., and L. Wang (2012): "Integrated Conditional Moment Tests for Parametric Conditional Distributions", Econometric Theory 28, 328-362. [PDF]
• Bierens, H. J. (2013): "The Hilbert Space Theoretical Foundation of Semi-Nonparametric Modeling". Forthcoming in J. Racine, L. Su and A. Ullah (eds), Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, Oxford University Press. [PDF]
• Bierens, H. J. (2013): "Consistency and Asymptotic Normality of Sieve ML Estimators Under Low-Level Conditions". Forthcoming in Econometric Theory. [PDF1 (paper), PDF2 (online supplement)]

Papers under review

• Bierens, H. J., and L. Wang (2013): "Weighted Simulated Integrated Conditional Moment Tests for Parametric Conditional Distributions of Stationary Time Series Processes". [PDF]

Active working paper

• Bierens, H. J., and H. Song (2013): "Semi-Nonparametric Modeling and Estimation of First-Price Auctions Models with Auction-Specific Heterogeneity" (in progress) [PDF]

Unpublished review papers

• Bierens, H. J. (2009): "Consistent Model Specification Tests". [PDF1 (paper), PDF2 (English conference slides), PDF3 (Spanish conference slides)]
• Bierens, H. J. (2009): "Semi-Nonparametric Modeling and Estimation". [PDF1 (paper), PDF2 (English conference slides) PDF3 (Spanish conference slides)]

Inactive papers

• Bierens, H. J., and H. Song (2011): "Nonparametric Identification of the First-Price Auction Model". [PDF]
• Bierens, H. J., and H-P. Lai (2007): "Econometric Analysis of a Cash-In-Advance Model". [PDF]
• Bierens, H. J., and D. F. Bradford (2005): "Are Property-Casualty Insurance Reserves Biased? A Non-Standard Random Effects Panel Data Analysis". [PDF]
• Bierens, H. J., J. Huang and W. Kong (2003): "An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects". [PDF]
• Bierens, H. J., and S. Mira (1999): "Integrated Conditional Moment Testing of Conditional Heteroskedasticity Models". [PDF]

Old preliminary papers on consistent model specification testing

• Bierens, H.J. (1981): "A Test for Model Specification in the Absence of Alternative Hypotheses"” [PDF]: Preliminary version of Bierens (1982)
• Bierens, H.J. (1981): "A Test for Model Specification of Nonlinear Time Series Regressions" [PDF]: Preliminary version of Bierens (1984)
• Bierens, H.J. (1987): "A Consistent Hausman-Type Model Specification Test" [PDF]: Preliminary version of Bierens (1990)

Back to my home (page)