Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference
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A01=Herman J Bierens
Asymptotic Normality of Sieve Estimators
Auction Models
Author_Herman J Bierens
Category=KCH
Consistency of Sieve Estimators
Consistent Tests
Duration Models
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Integrated Conditional Moment Tests
Martingale Difference Hypothesis
Parametric Conditional Distribution Models
Parametric Regression Models
Semi-Nonparametric Models
Sieve Estimators
Product details
- ISBN 9789814740500
- Publication Date: 19 Apr 2017
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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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.
