Introduction to the mathematical and statistical foundations of econometrics [EBook] / Herman J. Bierens.
Introduction to the mathematical and statistical foundations of econometrics [EBook] / Herman J. Bierens.
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 measuretheoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis...
Personal Name(s):  Bierens, Herman J., (author) 

Imprint: 
Cambridge :
Cambridge University Press,
2004

Physical Description: 
1 online resource (xvii, 323 pages) 
Note: 
englisch 
ISBN: 
9780521542241 9780511754012 9780521834315 
Series Title: 
Themes in modern econometrics

Subject (LOC):  
Full Text 
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 measuretheoretical 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 Mestimators, 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 selfcontained. 