Econometric model specification : consistent model specification tests and semi-nonparametric modeling and inference
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書誌事項
Econometric model specification : consistent model specification tests and semi-nonparametric modeling and inference
World Scientific, c2017
- : hc
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内容説明・目次
内容説明
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.
目次
- 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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