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Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference (Hardback)
  • Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference (Hardback)
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Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference (Hardback)

(author)
£164.00
Hardback 648 Pages / Published: 19/04/2017
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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.

Publisher: World Scientific Publishing Co Pte Ltd
ISBN: 9789814740500
Number of pages: 648
Weight: 1021 g
Dimensions: 231 x 155 x 38 mm

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