Probability, Statistics and Econometrics provides a concise yet rigorous treatment of the field suitable for graduate students studying econometrics, very advanced undergraduate students, and researchers seeking to extend their knowledge of the trinity of fields underpinning any use of quantitative data in economic decision-making. It 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. A compact guide that synthesizes three substantial areas of research, ensuring time investment is not great in a subject often challenging to newcomersFocused and modern coverage providing good relevant examples from economics and finance - aiding student motivation and understandingContains some modern frontier material like bootstrap and lasso methods not treated elsewhere in similar-level booksCollects the necessary material for first semester Economics PhD students into a single text INDICE: I PROBABILITY AND DISTRIBUTION 1. Probability Theory 2. Conditional probability and independence 3. Random Variables, Distribution Functions, and Densities 4. Transformations of Random Variables 5. Expectation: Definition and Properties 6. Examples of Univariate Distributions 7. Multivariate Random Variables 8. Probability Theory Revisited 9. Exercises and Complements II STATISTICS 10. Introduction 11. Estimation Theory 12. Hypothesis Testing 13. Confidence Intervals and Sets 14. Asymptotic Tests and The Bootstrap 15. Exercises and Complements III ECONOMETRICS 16. Linear Algebra 17. The Least Squares Procedure 18. Linear Model 19. Statistical Properties of the OLS Estimator 20. Hypothesis Testing for Linear Regression 21. Omission of Relevant Variables, Inclusion of Irrelevant Variables, and Model Selection 22. Asymptotic Properties of OLS estimator and Test Statistics 23. Generalized Method of Moments and Extremum Estimators 24. Exercises and Complements
- ISBN: 978-0-12-810495-8
- Editorial: Academic Press
- Encuadernacion: Rústica
- Páginas: 316
- Fecha Publicación: 01/06/2017
- Nº Volúmenes: 1
- Idioma: Inglés