Probability, Statistics and Econometrics
Published on 3. March 2017
Book
Paperback/Softback
388 pages
978-0-12-810495-8 (ISBN)
Description
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.
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.
Reviews / Votes
"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 ClippingsMore details
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
College/higher education
Very advanced undergraduate and [particularly] graduate students of econometrics, probability and statistics. First semester PhD students. Teachers and researchers in economics and finance.
Dimensions
Height: 229 mm
Width: 152 mm
Weight
610 gr
ISBN-13
978-0-12-810495-8 (9780128104958)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Oliver Linton
Probability, Statistics and Econometrics
E-Book
03/2017
Academic Press
€91.95
Available for download
Person
Professor Oliver Linton (Professor of Political Economy, Trinity College, Cambridge University) has been a Co-editor of Econometric Theory since 2000, the Journal of Econometrics since 2014, was Co-Editor of Econometrics Journal from 2007-14. He is an Elected Fellow of the Econometric Society, the Institute of Mathematical Statistics, and the British Academy. He has published over 130 articles in statistics, econometrics, and in empirical finance. He is particularly interested in nonparametric and semiparametric methods and financial econometrics.
Content
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
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