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portada Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference
Type
Physical Book
Author
Publisher
Language
English
Pages
648
Format
Hardcover
Dimensions
23.1 x 15.5 x 3.8 cm
Weight
1.02 kg.
ISBN13
9789814740500
Categories

Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference

Herman J. Bierens (Author) · World Scientific Publishing Company · Hardcover

Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference - Bierens, Herman J.

New Book Imported to Canada
Delivery: 07 Aug - 18 Aug Shipping: 10 to 12 business days.
C$ 452.33
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C$ 452.33

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Synopsis "Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference "

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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