Google full text of our books:


An Introduction to Econometric Theory:
Measure-Theoretic Probability and Statistics with Applications to Economics
A. Ronald Gallant

Hardcover | 1997 | $125.00 | ($75.00) / £85.00 | (£51.00) | ISBN: 9780691016450
208 pp. | 6 x 9 | 21 line illus. 6 tables
Add to Shopping Cart

Reviews | Table of Contents

Intended primarily to prepare first-year graduate students for their ongoing work in econometrics, economic theory, and finance, this innovative book presents the fundamental concepts of theoretical econometrics, from measure-theoretic probability to statistics. A. Ronald Gallant covers these topics at an introductory level and develops the ideas to the point where they can be applied. He thereby provides the reader not only with a basic grasp of the key empirical tools but with sound intuition as well.

In addition to covering the basic tools of empirical work in economics and finance, Gallant devotes particular attention to motivating ideas and presenting them as the solution to practical problems. For example, he presents correlation, regression, and conditional expectation as a means of obtaining the best approximation of one random variable by some function of another. He considers linear, polynomial, and unrestricted functions, and leads the reader to the notion of conditioning on a sigma-algebra as a means for finding the unrestricted solution. The reader thus gains an understanding of the relationships among linear, polynomial, and unrestricted solutions. Proofs of results are presented when the proof itself aids understanding or when the proof technique has practical value.

A major text-treatise by one of the leading scholars in this field, An Introduction to Econometric Theory will prove valuable not only to graduate students but also to all economists, statisticians, and finance professionals interested in the ideas and implications of theoretical econometrics.


"This is an excellent book . . . There are chapters on probability, random variables and expectations, distributions and convergence concepts. . . . It is very concise, yet treat most relevant topics in a clear and precise way."--Mathematical Reviews


"An excellent book. It covers the measure-theoretic material in a very understandable way, while offering some very neat proofs and motivating arguments. Professionals as well as students will want to buy this text, as it offers a very useful compendium of results that one can refer to."--Adrian Pagan, Australian National University in Canberra

Table of Contents:

Ch. 1Probability3
Ch. 2Random Variables and Expectation45
Ch. 3Distributions, Transformations, and Moments79
Ch. 4Convergence Concepts127
Ch. 5Statistical Inference147
Appendix: Distributions189

Subject Areas:


For hardcover/paperback orders in United States, Canada, Latin America, Asia, and Australia

 Hardcover $125.00 | ($75.00) ISBN: 9780691016450

Add to shopping cart
View contents of your shopping cart

For hardcover/paperback orders in Europe, Africa, the Middle East, India, and Pakistan

 Hardcover £85.00 | (£51.00) ISBN: 9780691016450

Add to shopping cart
View contents of your shopping cart

Prices subject to change without notice

File created: 11/20/2015

Questions and comments to:
Princeton University Press

fall saleHoliday Sale
New Book E-mails
New In Print
PUP Blog
Princeton APPS
Sample Chapters
Princeton Legacy Library
Exam/Desk Copy
Recent Awards
Princeton Shorts
Freshman Reading
PUP Europe
About Us
Contact Us
PUP Home

Bookmark and Share
Send me emails
about new books in:
More Choices