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  3. Introduction to the Mathematical and Statistical Foundations of Econometrics
  • Cited by 24
Publisher:
Cambridge University Press
Online publication date:
July 2010
Print publication year:
2004
Online ISBN:
9780511754012
DOI:
https://doi.org/10.1017/CBO9780511754012
Subjects:
Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
Series:
Themes in Modern Econometrics
Information

Book description

This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, central limit theorems and related results for independent random variables as well as for stationary time series, with applications to asymptotic inference of M-estimators, and maximum likelihood theory. Some chapters have their own appendices containing the more advanced topics and/or difficult proofs. Moreover, there are three appendices with material that is supposed to be known. Appendix I contains a comprehensive review of linear algebra, including all the proofs. Appendix II reviews a variety of mathematical topics and concepts that are used throughout the main text, and Appendix III reviews complex analysis. Therefore, this book is uniquely self-contained.

Reviews

'The objective of this book is to use it as an introductory text for a Ph.D. level course in Econometrics. … Appendixes are self contained with review which are easy to learn and understand. As a whole, I consider this book as unique and self-contained and it will be a great resource for researchers in the area of Econometrics.'

Source: Zentralblatt MATH

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