An introduction to Econometric Theory is a textbook for teaching econometric methods to students. This book is based on lectures offered to second year undergraduates of economics who were simultaneously taking core modules in applied econometrics.
It's expected that readers will have taken the standard mathematics course for economics undergraduates, but the prior knowledge required is small. Topics covered in the book will include:
- Simple regression
- Basic matrix algebra
- The general linear model
- Distribution theory, the normal distribution
- Properties of least squares, unbiasedness, efficiency
- Eigenvalues, statistical inference in regression, t and F tests
- The partitioned regression, specification analysis
- Random regressor theory
- Introduction to asymptotics
- Maximum likelihood
The book is aimed at undergraduate students in economics, statistics or finance but might be of use on MSc and PhD preliminary courses as well. What students can find here is the essential foundation of the more advanced ideas of modern econometrics. This book will give the beginner the basic intellectual equipment and the confidence for further studies.