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

by Herman J Bierens

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.

Product Details

ISBN-13:	9789814740500
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	04/19/2017
Pages:	648
Product dimensions:	6.10(w) x 9.10(h) x 1.50(d)

Table of Contents

Preface v

About the Author ix

Chapter 1 Introduction 1

Part I Consistent Model Specification Tests 49

Chapter 2 Consistent Model Specification Tests 51

Chapter 3 Model Specification Testing of Time Series Regressions 121

Chapter 4 A Consistent Conditional Moment Test of Functional Form 241

Chapter 5 Asymptotic Theory of Integrated Conditional Moment Tests 281

Chapter 6 Integrated Conditional Moment Tests for Parametric Conditional Distributions 347

Part II Semi-nonparametric Modeling and Inference 417

Chapter 7 Semi-nonparametric Interval-censored Mixed Proportional Hazard Models: Identification and Consistency Results 419

Chapter 8 Semi-nonparametric Competing Risks Analysis of Recidivism 465

Chapter 9 Semi-nonparametric Estimation of Independently and Identically Repeated First-price Auctions Via an Integrated Simulated Moments Method 517

Chapter 10 Consistency and Asymptotic Normality of Sieve ML Estimators under Low-level Conditions 529