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An Introduction to Econometric Theory
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.
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.
208 pages, Hardcover
First published January 1, 1997
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Displaying 1 - 2 of 2 reviews
May 25, 2025
Quick, concise, comprehensive. Rarely are all those words used in reference to statistics books. Yet this book does exactly what it sets out to do, and does it extremely well.
April 1, 2013
This brilliant little guide — the thinness of which belies the strength of the material within — has been unfairly neglected. Gives a surprisingly broad intro to statistical theory for those with only minimum mathematical maturity. If the gambling examples
that start off the book make your eyes glaze over, stick with it; it's worth it.
that start off the book make your eyes glaze over, stick with it; it's worth it.
Displaying 1 - 2 of 2 reviews