Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference
Author:   Herman J Bierens (Pennsylvania State Univ, Usa)
Publisher:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789814740500


Pages:   648
Publication Date:   19 April 2017
Format:   Hardback
Availability:   In Print   Availability explained
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Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference


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Overview

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.

Full Product Details

Author:   Herman J Bierens (Pennsylvania State Univ, Usa)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Dimensions:   Width: 15.50cm , Height: 3.80cm , Length: 23.10cm
Weight:   1.021kg
ISBN:  

9789814740500


ISBN 10:   9814740500
Pages:   648
Publication Date:   19 April 2017
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Introduction; Consistent Model Specification Tests: Consistent Tests of Functional Form of Regression Models: the I.i.d. Case; Consistent Tests of Functional Form of Regression Models: the Time Series Case; A Consistent Conditional Moment Test of Functional Form; Asymptotic Theory of Integrated Conditional Moment Tests; Asymptotic Theory of Integrated Conditional Moment Tests; Semi-Nonparametric Modeling and Inference: Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models; Semi-Nonparametric Competing Risks Analysis of Recidivism; Semi-Nonparametric Auction Models; Consistency and Asymptotic Normality of Sieve ML Estimators Under Low-Level Conditions;

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