
Econometric Model Specification : Consistent Model Specification Tests and Semi-nonparametric Modeling and Inference
World Scientific Publishing Company
ISBN13:
9789814740500
$247.69
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