Econometric Model Specification : Consistent Model Specification Tests and Semi-nonparametric Modeling and Inference

World Scientific Publishing Company
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9789814740500
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ISBN13:
9789814740500
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Econometric Model Specification reviews and extends the author's papers on consistent model specification testing and semi-nonparametric modeling and inference. This book consists of two parts. The first part discusses consistent tests of functional form of regression and conditional distribution models, including a consistent test of the martingale difference hypothesis for time series regression errors. In the second part, semi-nonparametric modeling and inference for duration and auction models are considered, as well as a general theory of the consistency and asymptotic normality of semi-nonparametric sieve maximum likelihood estimators. Moreover, this volume also contains addendums and appendices that provide detailed proofs and extensions of all the results. It is uniquely self-contained and is a useful source for students and researchers interested in model specification issues.


  • | Author: Herman J. Bierens
  • | Publisher: World Scientific Publishing Company
  • | Publication Date: Apr 15, 2017
  • | Number of Pages: 634 pages
  • | Language: English
  • | Binding: Hardcover
  • | ISBN-10: 9814740500
  • | ISBN-13: 9789814740500
Author:
Herman J. Bierens
Publisher:
World Scientific Publishing Company
Publication Date:
Apr 15, 2017
Number of pages:
634 pages
Language:
English
Binding:
Hardcover
ISBN-10:
9814740500
ISBN-13:
9789814740500