Herman J.Bierens – Introduction to the Mathematical and Statistical Foundations of Econometrics
Herman J.Bierens – Introduction to the Mathematical and Statistical Foundations of Econometrics
Herman J.Bierens – Introduction to the Mathematical and Statistical Foundations of Econometrics
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Description
The introduction to the mathematical and statistical foundations of econometrics was given by Herman J.Bierens.
This book can be used in an 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. Some chapters have their own appendices with more advanced topics. There are three appendices that are supposed to be known. There is a review of linear algebra in Appendix I. A variety of mathematical topics and concepts are reviewed in Appendix II and Appendix III. The book is self-contained.
BOOK DESCRIPTION
This book is intended for use in an introductory PhD level course in econometrics, or a field course in econometric theory.
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