Econometric Model Specification: Consistent Model Specification Tests And Semi-nonparametric Modeling And Inference, Hardback Book

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

Description

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.

Information

  • Format: Hardback
  • Pages: 648 pages
  • Publisher: World Scientific Publishing Co Pte Ltd
  • Publication Date:
  • Category: Econometrics
  • ISBN: 9789814740500

£164.00

£141.09

 
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