Introduction to the Mathematical and Statistical Foundations of Econometrics (Themes in Modern Econometrics) - ISBN:0521542243

Introduction to the Mathematical and Statistical Foundations of Econometrics (Themes in Modern Econometrics)

Date: 15 April 2011, 08:31

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Review
"Overall, this is an excellent textbook. It offers a unique perspective different from the standard approach in the mainstream textbooks. It encourages the mastering of fundamental concepts and theoretical perspectives at a formal level geared to develop a 'mathematical mind'. It will prove valuable not only for graduate students in econometrics and econometric theory but also as a reference to all researchers in modern economics, econometrics, statistics and financial econometrics." - Economic Record
"One outstanding virtue of Bierens' book is the inclusion of a large number of proofs. Some are in the text, and some are relegated to chapter appendices, but in any case, these are an essential ingredient of any such text.... Taken as a whole, this book can be seen as a rather personal compendium of things that Professor Beirens regards as important for students to know. It would be difficult indeed to fit more bits of knowledge useful to the apprentice econometrician into a book of this compass. It represents both an outstanding investment for the graduate student and an item that many researchers and practitioners will find invaluable for reference." - Econometric Reviews
Description
This book is intended for use in a rigorous introductory Ph.D. 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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