An Introduction To Econometric Theory

This book is a modern introduction to measure theoretic probability and statistical inference well targeted for graduate students in econometrics at top institutions. It would make an excellent textbook for first year graduate students who intend to specialize in econometrics or who have an advanced mathematical background, and it would also be a useful part of any graduate econometrics course. It is concise and intensely focused on the key conceptual points, thus counteracting the tendency toward long-windedness apparent in some recent econometric texts. Nevertheless, it provides many valuable insights into difficult material. In particular, the discussions of sigma fields and conditional expectation given a sigma field are very helpful. The coverage of multivariate concepts alongside univariate ones is particularly useful to econometricians and something that is missing from most comparable statistical texts. The author has a mature attitude to proof, providing complete and illuminating proofs of some results but making liberal use of simplifications provided by special cases, for example in Theorems 4.1 and 4.5 and Section 5.2.2, to shorten and focus the arguments. The proofs themselves are very clear and well presented. Carefully chosen diagrams are given throughout the book that nicely illustrate many of the key concepts. In addition, each chapter contains a long list of problems of varying complexity, which will be useful to instructors.