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Introduction to the Mathematical and Statistical Foundations of Econometrics (Themes in Modern Econometrics) Paperback – December 20, 2004

ISBN-13: 978-0521542241 ISBN-10: 0521542243

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Product Details

  • Series: Themes in Modern Econometrics
  • Paperback: 344 pages
  • Publisher: Cambridge University Press (December 20, 2004)
  • Language: English
  • ISBN-10: 0521542243
  • ISBN-13: 978-0521542241
  • Product Dimensions: 9.1 x 6.3 x 0.8 inches
  • Shipping Weight: 1 pounds (View shipping rates and policies)
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #383,047 in Books (See Top 100 in Books)

Editorial Reviews

Review

"Overall, this is an excellent textbook. It offers a unique perspective different from the standard approach in the mainstream textbooks. It encourages the mastering of fundamental concepts and theoretical perspectives at a formal level geared to develop a 'mathematical mind'. It will prove valuable not only for graduate students in econometrics and econometric theory but also as a reference to all researchers in modern economics, econometrics, statistics and financial econometrics." - Economic Record

"One outstanding virtue of Bierens' book is the inclusion of a large number of proofs. Some are in the text, and some are relegated to chapter appendices, but in any case, these are an essential ingredient of any such text.... Taken as a whole, this book can be seen as a rather personal compendium of things that Professor Beirens regards as important for students to know. It would be difficult indeed to fit more bits of knowledge useful to the apprentice econometrician into a book of this compass. It represents both an outstanding investment for the graduate student and an item that many researchers and practitioners will find invaluable for reference." - Econometric Reviews

Book Description

This book is intended to be used in a first-semester Ph.D. level course in econometrics, but because it contains much advanced material, particularly in the appendices to the chapters, it is also suitable for a field course in econometric theory. The focus of this book is on understanding why rather than how the mathematical and statistical foundations of econometrics are established. Therefore, the text provides all the proofs, or at least motivations if proofs are too complicated, of the mathematical and statistical results necessary for understanding modern econometric theory. In this respect it differs from all other econometrics textbooks.

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Most Helpful Customer Reviews

6 of 6 people found the following review helpful By George on October 7, 2010
Format: Paperback
I have been searching for a real solid introduction to statistics for a long time. And this book is the most in-depth yet readable book so far. It covers advanced topics in statistics such as the F and t distribution formulas, the convergence theorems, the sigma-algebra, and knowledge in matrix, where there is a whole section on determinants!

If you are a serious student in Statistics, Econometrics or Quantitative Finance, I suggest you must have this book along with you as "what-is" reference, since most schools nowadays bypass these fundamental knowledge in courses and hinder your understanding of the whole structure.
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5 of 5 people found the following review helpful By Daniel O. Cajueiro on February 18, 2011
Format: Paperback
This book is a very well written introduction to the probability and measure foundations of econometrics. It provides a good balance between rigor and intuition. I believe that everyone interested in this subject should read this book, since it provides the necessary tools to understand the language and the tools necessary to understand papers in this field.

There are two other books that I think that are very related to this book: An introduction to Econometric theory - Gallant and Asymptotic theory for econometricians - White.

An introduction to Econometric theory - Gallant covers about the same subject, but it is more introductory. This can be used as an companion book.

Asymptotic theory for econometricians - White is very different. It requires a little more knowledge than the books above and it has a very different presentation. It starts with some introduction to some definitions and theorems of measure theory such as consistency, law of large numbers and asymptotic normality and then it goes to the real thing. Based on the framework of linear regression, it analyses the impact of relaxing some of the assumptions of this model. This is amazing and brings a lot of intuition.
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