STATISTICAL METHODS IN ECONOMETRICS is appropriate for beginning graduate
courses in mathematical statistics and econometrics in which the
foundations of probability and statistical theory are developed for
application to econometric methodology. Because econometrics generally
requires the study of several unknown parameters, emphasis is placed on
estimated and hypothesis testing involving several parameters.
Accordingly, special attention is paid to the multivariate normal and
distribution of quadratic forms. Lagrange multiplier tests are discussed
in considerable detail, along with the traditional likelihood ratio and
Wald tests. Characteristic functions and their properties are fully
exploited. Also, asymptotic distribution theory, which usually is given
only cursory treatment is discussed in detail.
The book assumes a working knowledge of advanced calculus (including
integral calculus), basic probability and statistic, and linear algebra.
Important properties from matrix algebra are summarized in the appendix.
Numerous examples, exercises, and practice problems are included.