This paper presents a waveform modeling and generation method using hierarchical recurrent neural networks (HRNN) for speech bandwidth extension (BWE). Different from conventional BWE methods which predict spectral parameters for reconstructing wideband speech waveforms, this BWE method models and predicts waveform samples directly without using vocoders. Inspired by SampleRNN which is an unconditional neural audio generator, the HRNN model represents the distribution of each wideband or high-frequency waveform sample conditioned on the input narrowband waveform samples using a neural network composed of long short-term memory (LSTM) layers and feed-forward (FF) layers. The LSTM layers form a hierarchical structure and each layer operates at a specific temporal resolution to efficiently capture long-span dependencies between temporal sequences. Furthermore, additional conditions, such as the bottleneck (BN) features derived from narrowband speech using a deep neural network (DNN)-based state classifier, are employed as auxiliary input to further improve the quality of generated wideband speech. The experimental results of comparing several waveform modeling methods show that the HRNN-based method can achieve better speech quality and run-time efficiency than the dilated convolutional neural network (DCNN)-based method and the plain sample-level recurrent neural network (SRNN)-based method. Our proposed method also outperforms the conventional vocoder-based BWE method using LSTM-RNNs in terms of the subjective quality of the reconstructed wideband speech.