An Introduction to Econometric Theory
A. Ronald GallantISBN: 0691016453;
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, andconditional 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...
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