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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.
| Autorius: | Herman J Bierens |
| Leidėjas: | World Scientific |
| Išleidimo metai: | 2016 |
| Knygos puslapių skaičius: | 648 |
| ISBN-10: | 9814740500 |
| ISBN-13: | 9789814740500 |
| Formatas: | 235 x 157 x 39 mm. Knyga kietu viršeliu |
| Kalba: | Anglų |
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