Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference
Language: English
Published by World Scientific Pub Co Inc, 2017
- Hardcover
- New
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- Title
- Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference
- Author
- Bierens Herman J
- Publisher
- World Scientific Pub Co Inc
- Publication year
- 2017
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 9814740500
- ISBN 13
- 9789814740500
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.
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Romtrade Corp.
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