ENGLISH

Introduction to the Mathematical and Statistical Foundations of Econometrics

By Herman J. Bierens

Book information

Publisher
Cambridge University Press
Year
2005
ISBN
978-0-511-08041-8, 0-511-08041-7, 978-0-521-83431-5, 0-521-83431-7, 978-0-521-54224-1, 0-521-54224-3
Language
english
Format
PDF
Filesize
4 MB (4191530 bytes)
Series
Themes in Modern Econometrics
Pages
345\345
Library
Great Science Textbooks
Time added
2009-07-20 03:45:11

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.

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