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Econometric Model Specification
Hardcover
EconomicsProbability & Statistics
ISBN13: 9789814740500
Publisher: World Scientific Publishing Company
Published: Apr 15 2017
Pages: 648
Weight: 2.25
Height: 1.50 Width: 6.10 Depth: 9.10
Language: English
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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