## Introduction to the Mathematical and Statistical Foundations of Econometrics

This book is intended for use in a rigorous introductory Ph. D.-level course in econometrics or in a field course in econometric theory. It is based on lecture notes that I developed during the period 1997-2003 for the first-semester econometrics course “Introduction to Econometrics” in the core of the Ph. D. program in economics at the Pennsylvania State University. Initially, these lecture notes were written as a companion to Gallant’s (1997) textbook but have been developed gradually into an alternative textbook. Therefore, the topics that are covered in this book encompass those in Gallant’s book, but in much more depth. Moreover, to make the book also suitable for a field course in econometric theory, I have included various advanced topics as well...

Read More