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.
