ECONOMETRIC MODEL SPECIFICATION: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference - Hardcover

Bierens Herman J

 
9789814740500: ECONOMETRIC MODEL SPECIFICATION: Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference
Hardcover
ISBN 10: 9814740500 ISBN 13: 9789814740500
Verlag: World Scientific Publ., 2016

Inhaltsangabe

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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Von der hinteren Coverseite

Econometric Model Specification reviews and extends the studies on consistent model specification testing and semi-nonparametric modeling and inference. This book consists of four parts. The first part discusses about consistent tests of functional form of regression and conditional distribution models. The second part studies Martingale difference hypothesis for time series regression errors. In the third part, semi-nonparametric modeling and inference for duration and auction models are considered. The last part provides insights into consistency and asymptotic normality of sieve maximum likelihood estimators. Moreover, this volume also contains addendums that provide detailed proofs of all the results. It is uniquely self-contained and a useful source for students and researchers interested in model specification issues.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
World Scientific Publ.
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
9814740500
ISBN 13 
9789814740500
Einband
Gebundene Ausgabe
Anzahl der Seiten
648
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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