World Scientific Publishing Company
Econometric Model Specification : Consistent Model Specification Tests and Semi-nonparametric Modeling and Inference
Product Code:
9789814740500
ISBN13:
9789814740500
Condition:
New
$244.88
Econometric Model Specification : Consistent Model Specification Tests and Semi-nonparametric Modeling and Inference
$244.88
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 |
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