An introduction to econometric theory: measure-theoretic probability and statistics with applications to economics
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton Univ. Press
1997
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| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis |
| Beschreibung: | X, 202 S. graph. Darst. |
| ISBN: | 0691016453 |
Internformat
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Datensatz im Suchindex
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| adam_text |
An Introduction
to Econometric
Theory
Measure-Theoretic
Probability and Statistics
with Applications to Economics
A RONALD GALLANT
PRINCETON UNIVERSITY PRESS
PRINCETON, NEW JERSEY
Contents
Preface ix
Chapter 1 - Probability 3
1 1 Examples 3
1 2 Sample Space 13
1 3 Events 15
1 4 Probability Spaces 20
1 5 Properties of Probability Spaces 28
1 6 Combinatorial Results 31
1 7 Conditional Probability 35
1 8 Independence 41
1 9 Problems 42
Chapter 2 - Random Variables and Expectation 45
2 1 Random Variables 45
2 2 Continuous Random Variables 48
2 3 Discrete Random Variables 54
2 4 Unconditional Expectation 58
2 5 Conditional Expectation 64
2 6 Problems 75
Chapter 3 - Distributions, Transformations,
and Moments 79
3 1 Distribution Functions 79
3 2 Independent Random Variables 87
3 3 Transformations 90
3 4 Moments and Moment Generating Functions 100
3 5 Covariance and Correlation 107
3 6 The Bivariate Normal Distribution 113
3 7 Matrix Notation for Moments 116
3 8 The Multivariate Normal Distribution 119
3 9 Problems 121
viii - CONTENTS
Chapter 4 - Convergence Concepts 127
4 1 Random Samples 127
4 2 Almost Sure Convergence 130
4 3 Convergence in Probability 136
4 4 Convergence in Distribution 138
4 5 Lp Convergence 142
4 6 Problems 143
Chapter 5 - Statistical Inference 147
5 1 Inference 147
5 2 Maximum Likelihood Estimation 154
5 3 Method of Moments Estimation 165
5 4 Bayesian Estimation 174
5 5 The Wald Test 178
5 6 The Lagrange Multiplier Test 179
5 7 The Likelihood Ratio Test 181
5 8 Bayesian Hypothesis Testing 182
5 9 Problems 184
Appendix: Distributions 189
References 197
Index 199 |
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| discipline | Wirtschaftswissenschaften |
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| title | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics |
| title_auth | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics |
| title_exact_search | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics |
| title_full | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics A. Ronald Gallant |
| title_fullStr | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics A. Ronald Gallant |
| title_full_unstemmed | An introduction to econometric theory measure-theoretic probability and statistics with applications to economics A. Ronald Gallant |
| title_short | An introduction to econometric theory |
| title_sort | an introduction to econometric theory measure theoretic probability and statistics with applications to economics |
| title_sub | measure-theoretic probability and statistics with applications to economics |
| topic | Econometrie gtt Économétrie Econometrics Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometrie Économétrie Econometrics Ökonometrie Einführung |
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