Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling...

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Herman J Bierens (Pennsylvania State Univ, Usa)

Econometric Model Specification

Name: Econometric Model Specification
Price: 389.66 AUD
Availability: OutOfStock
ISBN: 9789814740500

Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference

Herman J Bierens (Pennsylvania State Univ, Usa)

$486.95 $389.66

Hardback

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English

World Scientific Publishing Co Pte Ltd
19 April 2017

Econometrics

Summary
Details

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.

By: Herman J Bierens (Pennsylvania State Univ Usa)
Imprint: World Scientific Publishing Co Pte Ltd
Country of Publication: Singapore
Dimensions: Height: 231mm, Width: 155mm, Spine: 38mm
Weight: 1.021kg
ISBN: 9789814740500
ISBN 10: 9814740500
Pages: 648
Publication Date: 19 April 2017
Audience: College/higher education , Further / Higher Education
Format: Hardback
Publisher's Status: Active