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Item Details
Title: INTRODUCTION TO THE MATHEMATICAL AND STATISTICAL FOUNDATIONS OF ECONOMETRICS
By: Herman J. Bierens, Peter C. B. Phillips, Eric Ghysels
Format: Paperback

List price: £42.00
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ISBN 10: 0521542243
ISBN 13: 9780521542241
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Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 20 December, 2004
Series: Themes in Modern Econometrics
Pages: 344
Description: This book is intended for use in a rigorous introductory PhD level course in econometrics.
Synopsis: 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, 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 self-contained.
Illustrations: 19 b/w illus. 12 tables
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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ECONOMETRIC MODEL SPECIFICATION: CONSISTENT MODEL SPECIFICATION TESTS AND SEMI-NONPARAMETRIC MODELING AND INFERENCE (HB)
ECONOMETRICS OF QUALITATIVE DEPENDENT VARIABLES (HB)
ESSAYS IN ECONOMETRICS (HB)
ESSAYS IN ECONOMETRICS (HB)
ESSAYS IN ECONOMETRICS (PB)
ESSAYS IN ECONOMETRICS (PB)
ESSAYS IN ECONOMETRICS 2 VOLUME HARDBACK SET
ESSAYS IN ECONOMETRICS 2 VOLUME PAPERBACK SET
ESSAYS IN ECONOMETRICS: VOLUME 1, SPECTRAL ANALYSIS, SEASONALITY, NONLINEARITY, METHODOLOGY, AND FORECASTING
ESSAYS IN ECONOMETRICS: VOLUME 2, CAUSALITY, INTEGRATION AND COINTEGRATION, AND LONG MEMORY
FINANCE AND ECONOMICS DISCUSSION SERIES
FINANCIAL ECONOMETRIC MODELING
GENERALIZED METHOD OF MOMENTS ESTIMATION (HB)
GENERALIZED METHOD OF MOMENTS ESTIMATION (PB)
INTRODUCTION TO THE MATHEMATICAL AND STATISTICAL FOUNDATIONS OF ECONOMETRICS
INTRODUCTION TO THE MATHEMATICAL AND STATISTICAL FOUNDATIONS OF ECONOMETRICS (HB)
MATRIX ALGEBRA (PB)
MODELS, METHODS AND APPLICATIONS OF ECONOMETRICS (HB)
NONLINEAR MODELS (HB)
NONPARAMETRIC ECONOMETRICS (PB)
ROBUST METHODS AND ASYMPTOTIC THEORY IN NONLINEAR ECONOMETRICS (PB)
SEMIPARAMETRIC REGRESSION FOR THE APPLIED ECONOMETRICIAN (PB)
STATISTICS AND ECONOMETRIC MODELS (PB)
STATISTICS AND ECONOMETRIC MODELS: VOLUME 1, GENERAL CONCEPTS, ESTIMATION, PREDICTION AND ALGORITHMS (HB)
THE ECONOMETRIC ANALYSIS OF SEASONAL TIME SERIES
THE ECONOMETRIC ANALYSIS OF SEASONAL TIME SERIES (HB)
THE ECONOMETRIC ANALYSIS OF SEASONAL TIME SERIES (PB)
TIME SERIES AND DYNAMIC MODELS (HB)
TIME SERIES AND DYNAMIC MODELS (PB)
TOPICS IN ADVANCED ECONOMETRICS
TOPICS IN ADVANCED ECONOMETRICS (HB)
TOPICS IN ADVANCED ECONOMETRICS (PB)

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