Introduction to the Mathematical and Statistical Foundations of Econometrics

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Cambridge University Press, Dec 20, 2004 - Business & Economics - 323 pages
This book is intended for use in a rigorous introductory PhD level course in econometrics.
 

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Contents

Probability and Measure
1
A Common Structure of the Proofs of Theorems
32
A Uniqueness of Characteristic Functions
61
A Proof of Theorem 3 12
83
A Tedious Derivations
104
A Proof of Theorem 5 8
134
A Proof of the Uniform Weak Law
164
C Convergence of Characteristic Functions
174
A Hilbert Spaces
199
Maximum Likelihood Theory
205
Review of Linear Algebra
229
Miscellaneous Mathematics
283
A Brief Review of Complex Analysis
298
Tables of Critical Values
306
References 315
Copyright

Dependent Laws of Large Numbers and Central Limit
179

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About the author (2004)

Herman J. Bierens is Professor of Economics at the Pennsylvania State University and part-time Professor of Econometrics at Tilburg University, The Netherlands. He is Associate Editor of the Journal of Econometrics and Econometric Reviews, and has been an Associate Editor of Econometrica. Professor Bierens has written two monographs, Robust Methods and Asymptotic Theory in Nonlinear Econometrics and Topics in Advanced Econometrics Cambridge University Press 1994), as well as numerous journal articles. His current research interests are model (mis)specification analysis in econometrics and its application in empirical research, time series econometrics, and the econometric analysis of dynamic stochastic general equilibrium models.

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