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Probability, Statistics and Econometrics
Compact work that provides an accessible and rigorous econometrics content that is suitable for graduate courses or first semester PhD students
Oliver Linton (Author)
9780128104958, Elsevier Science
Paperback, published 3 March 2017
388 pages
22.9 x 15.1 x 2.5 cm, 0.61 kg
"This book provides a concise treatment of the three fields mentioned in the title, containing the essential notions and results in these areas. Almost all definitions and important theorems in the book are followed by relevant examples and valuable comments. Although most of the theorems and propositions in the book are presented without a proof, in some of the cases a proof is provided. The book is suitable for advanced under- graduate students or graduate students studying econometrics, as well as for researchers in finance and economics seeking to extend their knowledge in these three fields." --Mathematical Reviews Clippings
Probability, Statistics and Econometrics provides a concise, yet rigorous, treatment of the field that is suitable for graduate students studying econometrics, very advanced undergraduate students, and researchers seeking to extend their knowledge of the trinity of fields that use quantitative data in economic decision-making. The book covers much of the groundwork for probability and inference before proceeding to core topics in econometrics. Authored by one of the leading econometricians in the field, it is a unique and valuable addition to the current repertoire of econometrics textbooks and reference books.
Part I: Probability and Distribution1. Probability Theory2. Conditional Probability and Independence3. Random Variables, Distribution Functions, and Densities4. Transformations of Random Variables5. The Expectation6. Examples of Univariate Distributions7. Multivariate Random Variables8. Asymptotic Theory9. Exercises and Complements Part II: Statistics10. Introduction11. Estimation Theory12. Hypothesis Testing13. Confidence Intervals and Sets14. Asymptotic Tests and the Bootstrap15. Exercises and Complements Part III: Econometrics 16. Linear Algebra17. The Least Squares Procedure18. Linear Model19. Statistical Properties of the OLS Estimator20. Hypothesis Testing for Linear Regression21. Omission of Relevant Variables, Inclusion of Irrelevant Variables, and Model Selection 22. Asymptotic Properties of OLS Estimator and Test Statistics23. Generalized Method of Moments and Extremum Estimators24. A Nonparametric Postscript25. A Case Study26. Exercises and Complements Appendix A. Some Results from Calculus Appendix B. Some Matrix Facts
Subject Areas: Econometrics [KCH]
