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

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

by Herman J. Bierens
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Book cover type: Hardcover
  • ISBN13: 9789814740500
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: World Scientific Publishing Company
  • Publisher Imprint: World Scientific Publishing Company
  • Publication Date:
  • Pages: 648
  • Original Price: USD 235.0
  • Language: English
  • Edition: N/A
  • Item Weight: 1021 grams
  • BISAC Subject(s): Econometrics

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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