Herman J. Bierens

Introduction to the Mathematical and Statistical Foundations of Econometrics

Buch

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 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, with applications to asymptotic inference of M-estimators, and maximum likelihood theory. Some chapters have their own appendices containing the more advanced topics and/or difficult proofs. Moreover, t… Mehr

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Produktdetails

Weitere Autoren: Gourieroux, Christian (Hrsg.) / Phillips, Peter C. B. (Hrsg.)

ISBN: 978-0-521-54224-1
EAN: 9780521542241
Produktnummer: 9297330
Verlag: Cambridge University Press
Sprache: Englisch
Erscheinungsjahr: 2011
Seitenangabe: 344 S.
Masse: H22.9 cm x B15.2 cm x D2.0 cm 529 g
Abbildungen: Paperback
Gewicht: 529

Über den Autor

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.