Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference (Hardcover) (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.

Author: Herman J. Bierens
ISBN-10: 9814740500
ISBN-13: 9789814740500
Publisher: World Scientific Publishing Company
Language: English
Published: 04/15/2017
Pages: 648
Format: Hardcover
Weight: 2.25lbs
Size: 9.10h x 6.10w x 1.50d