Libro Econometric Model Specification: Consistent Model Specification Tests and Semi-Nonparametric Modelin De Bierens, Herman J.

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

Formato

Libro Físico

Autor

Herman J. Bierens

Editorial

World Scientific Publishing Company

Idioma

Inglés

N° páginas

648

Encuadernación

Tapa Dura

Dimensiones

23.1 x 15.5 x 3.8 cm

Peso

1.02 kg.

ISBN13

9789814740500

Categorías

Econometría
Estocástica

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

Herman J. Bierens (Autor) · World Scientific Publishing Company · Tapa Dura

Sin Stock

Reseña del libro "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.