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.
1133772121
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.
233.0
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Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference
648
Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference
648
233.0
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Product Details
| ISBN-13: | 9789814740500 |
|---|---|
| Publisher: | World Scientific Publishing Company, Incorporated |
| Publication date: | 04/19/2017 |
| Pages: | 648 |
| Product dimensions: | 6.10(w) x 9.10(h) x 1.50(d) |
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