Introduction to the Theory and Practice of Econometrics

Series: Wiley Series in Probability and Mathematical Statistics

The book is self-contained in the sense that statistical concepts and linear algebra are introduced when they are needed and are most relevant for analysis and inference. Applications of calculus are presented in such a way that the ideas are transmitted even though the underlying concepts may be unfamiliar. Introductory knowledge in these areas, although beneficial, is not necessary.

The objectives of the book are multiple. The first half of the book gives the student a solid introduction to the formulation and use of linear statistical models. The second half introduces the student to the econometric problems that arise when we take into account the facts that economic data are stochastic, dynamic, and simultaneous and that the optimal statistical procedure sometimes changes as we change the statistical model, the amount and type of information used, and the measure of performance. These topics, although not treated in great depth, identify the general problem area and suggest one or more procedures for mitigating the statistical impact of the econometric evil in question.