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by Herman J. Bierens
Download Introduction to the Mathematical and Statistical Foundations of Econometrics (Themes in Modern Econometrics) fb2
Mathematics
  • Author:
    Herman J. Bierens
  • ISBN:
    0521542243
  • ISBN13:
    978-0521542241
  • Genre:
  • Publisher:
    Cambridge University Press (December 20, 2004)
  • Pages:
    344 pages
  • Subcategory:
    Mathematics
  • Language:
  • FB2 format
    1251 kb
  • ePUB format
    1220 kb
  • DJVU format
    1530 kb
  • Rating:
    4.2
  • Votes:
    219
  • Formats:
    mbr lrf azw doc


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One outstanding virtue of Bierens' book is the inclusion of a large number of proofs. 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. 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.

Cambridge Core - Statistics for Econometrics, Finance and Insurance - Introduction to the Mathematical and Statistical . Bierens, Herman J and Kontuly, Thomas 2008. Testing the Regional Restructuring Hypothesis in Western Germany. Environment and Planning A, Vol. 40, Issue.

Cambridge Core - Statistics for Econometrics, Finance and Insurance - Introduction to the Mathematical and Statistical Foundations of Econometrics - by Herman J. Bierens. Bierens, Herman J. 2008. Semi-nonparametric interval-censored mixed proportional hazard models: identification and consistency results. Econometric Theory, Vol. 24, Issue.

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly.

Start by marking Introduction to the Mathematical and Statistical . In this respect, it differs from other econometrics textbooks.

Start by marking Introduction to the Mathematical and Statistical Foundations of Econometrics as Want to Read: Want to Read savin. ant to Read. The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. 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.

Herman J. Bierens, Peter C. B. Phillips, Eric Ghysels. 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.

Themes in Modern Econometrics - Herman J. The Mathematical and Statistical Foundations of Econometrics

Themes in Modern Econometrics - Herman J. Themes in Modern Econometrics is designed to service the large and growing need for explicit teaching tools in econometrics. The Mathematical and Statistical Foundations of Econometrics. The notation n!, read n factorial, stands for the product of the natural numbers 1 through n: n ! 1 2 (n 1) n if n 0, 0!

Economics: Professional & General. Themes in Modern Econometrics. Herman J. Bierens is Professor of Economics at the Pennsylvania State University and part-time Professor of Econometrics at Tilburg University, The Netherlands

Economics: Professional & General. Bierens is Professor of Economics at the Pennsylvania State University and part-time Professor of Econometrics at Tilburg University, The Netherlands. 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.

The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. 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 other econometrics textbooks.

Anarius
Excellent condition. Nice paper and printing.
Keath
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.
Fearlessdweller
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.