Introduction to the Mathematical and Statistical Foundations of Econometrics

Herman J. Bierens

Pennsylvania State University

• Contents and Preface
• Chapter 1: Probability and Measure
• Chapter 2: Borel Measurability, Integration, and Mathematical Expectations
• Chapter 3: Conditional Expectations
• Chapter 4: Distributions and Transformations
• Chapter 5: The Multivariate Normal Distribution and its Application to Statistical Inference
• Chapter 6: Modes of Convergence
• Chapter 7: Dependent Laws of Large Numbers and Central Limit Theorems
• Chapter 8: Maximum Likelihood Theory
• Appendix I: Review of Linear Algebra
• Appendix II: Miscellaneous Mathematics
• Appendix III: A Brief Review of Complex Analysis
• Appendix IV: Tables of Critical Values
• References

1. Errata to the first (2004) edition
   (These errors have been corrected in the 2007 reprint of the paper back edition)
2. Remaining errors in both editions:
   • Errata and improvements (Updated: January 28, 2010)
   • The Wold decompostion (Updated: January 25, 2010)

1. Rachida Ouysse (2006), Economic Record 82, 230-231
   Concluding remarks:
   
   
2. James Davidson (2007), Econometric Reviews 26, 605-607
   Concluding remarks: