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An Introduction to Econometric Theory


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Table of Contents

PrefaceCh. 1Probability3Ch. 2Random Variables and Expectation45Ch. 3Distributions, Transformations, and Moments79Ch. 4Convergence Concepts127Ch. 5Statistical Inference147Appendix: Distributions189References197Index199

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An excellent book. It covers the measure-theoretic material in a very understandable way, while offering some very neat proofs and motivating arguments. Professionals as well as students will want to buy this text, as it offers a very useful compendium of results that one can refer to. -- Adrian Pagan, Australian National University in Canberra

About the Author

A. Ronald Gallant is Henry A. Latane Distinguished Professor of Economics at the University of North Carolina at Chapel Hill. He is a Fellow of the Econometric Society and the American Statistical Association, and a member of the Board of Directors of the National Bureau of Economic Research and the National Institute of Statistical Science. His books include Nonlinear Statistical Models. He is coeditor of the Journal of Econometrics.


"This is an excellent book ... There are chapters on probability, random variables and expectations, distributions and convergence concepts... It is very concise, yet treat most relevant topics in a clear and precise way."--Mathematical Reviews

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