An Introduction to Econometric Theory:
Measure-Theoretic Probability and Statistics with Applications to
Economics
Book Description
Intended primarily to prepare first-year graduate students for
their ongoing work in econometrics, economic theory, and finance, this innovative book
presents the fundamental concepts of theoretical econometrics, from measure-theoretic
probability to statistics. A. Ronald Gallant covers these topics at an introductory
level and develops the ideas to the point where they can be applied. He thereby
provides the reader not only with a basic grasp of the key empirical tools but with
sound intuition as well. In addition to covering the basic tools of empirical work in
economics and finance, Gallant devotes particular attention to motivating ideas and
presenting them as the solution to practical problems. For example, he presents
correlation, regression, and conditional expectation as a means of obtaining the best
approximation of one random variable by some function of another. He considers linear,
polynomial, and unrestricted functions, and leads the reader to the notion of
conditioning on a sigma-algebra as a means for finding the unrestricted solution. The
reader thus gains an understanding of the relationships among linear, polynomial, and
unrestricted solutions. Proofs of results are presented when the proof itself aids
understanding or when the proof technique has practical value. A major text-treatise by
one of the leading scholars in this field, An Introduction to Econometric Theory
will prove valuable not only to graduate students but also to all economists,
statisticians, and finance professionals interested in the ideas and implications of
theoretical econometrics. Intended primarily to prepare first-year graduate students
for their ongoing work in econometrics, economic theory, and finance, this innovative
book presents the fundamental concepts of theoretical econometrics, from
measure-theoretic probability to statistics. A Ronald Gallant covers these topics at an
introductory level and develops the ideas to the point where they can be applied. He
thereby provides the reader not only with a basic grasp of the key empirical tools but
with sound intuition as well.