Econometric Model Specification

Consistent Model Specification Tests and Semi-Nonparametric Modeling and Inference

World Scientific Publishers, Singapore, 2017.

Herman J. Bierens
Professor Emeritus of Economics
Pennsylvania State University

Preface [PDF]

About the Author [PDF]

Contents [PDF]

Chapter 1
Introduction [PDF] (pp. 1-47)

Part I
Consistent Model Specification Tests

Chapter 2
Consistent Model Specification Tests

Chapter 3
Model Specification Testing of Time Series Regressions

Chapter 4
A Consistent Conditional Moment Test of Functional Form

Chapter 5
Asymptotic Theory of Integrated Conditional Moment Tests

Chapter 6
Integrated Conditional Moment Tests for Parametric Conditional Distributions

Part II
Semi-Nonparametric Modeling and Inference

Chapter 7
Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification and Consistency Results

Chapter 8
Semi-Nonparametric Competing Risks Analysis of Recidivism

Chapter 9
Semi-Nonparametric Estimation of Independently and Identically Repeated First-Price Auctions via an Integrated Simulated Moments Method

Chapter 10
Consistency and Asymptotic Normality of Sieve ML Estimators Under Low-Level Conditions


Errata [October 23, 2017]

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