Advanced Search
MyIDEAS: Login

Introduction to the Mathematical and Statistical Foundations of Econometrics

Contents:

Author Info

  • Bierens,Herman J.

Abstract

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.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

as in new window
This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521834315 and published in 2005.

Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521834315
Handle: RePEc:cup:cbooks:9780521834315

Contact details of provider:
Web page: http://www.cambridge.org

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Altig, David E & Christiano, Lawrence J. & Eichenbaum, Martin & Lindé, Jesper, 2005. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle," CEPR Discussion Papers 4858, C.E.P.R. Discussion Papers.
  2. Kenneth L. Sørensen & Rune Vejlin, 2012. "Return to Experience and Initial Wage Level: Do Low Wage Workers Catch Up?," Economics Working Papers 2012-02, School of Economics and Management, University of Aarhus.
  3. David Altig & Lawrence Christiano & Martin Eichenbaum & Jesper Linde, 2005. "Online Appendix to "Firm-Specific Capital, Nominal Rigidities and the Business Cycle"," Technical Appendices 09-191, Review of Economic Dynamics.
  4. Marcin Owczarczuk, 2009. "Maximum Score Type Estimators," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(1), pages 7-34, March.
  5. Hanck, Christoph, 2006. "The Error-in-Rejection Probability of Meta-Analytic Panel Tests," Technical Reports 2006,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  6. Huang, Bin & Wang, Qihua, 2010. "Semiparametric analysis based on weighted estimating equations for transformation models with missing covariates," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2078-2090, October.
  7. Hanck, Christoph, 2006. "Cross-Sectional Correlation Robust Tests for Panel Cointegration," Technical Reports 2006,44, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  8. Boris Bravo & Horacio Cocchi & Daniel Solís, 2006. "Output Diversification Among Small-Scale Hillside Farmers In El Salvador," OVE Working Papers 1706, Inter-American Development Bank, Office of Evaluation and Oversight (OVE).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cup:cbooks:9780521834315

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ruth Austin).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.