Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference (Hardcover)

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.

General

Imprint:	World Scientific Publishing Co Pte Ltd
Country of origin:	Singapore
Release date:	April 2017
Authors:	Herman J. Bierens
Dimensions:	231 x 155 x 38mm (L x W x T)
Format:	Hardcover
Pages:	648
ISBN-13:	978-981-4740-50-0
Categories:	Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	981-4740-50-0
Barcode:	9789814740500

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