


An Introduction to Econometric Theory: 
Intended primarily to prepare firstyear graduate students for their ongoing work in econometrics, economic theory, and finance, this innovative book presents the fundamental concepts of theoretical econometrics, from measuretheoretic 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 sigmaalgebra 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 texttreatise 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 Endorsement: "An excellent book. It covers the measuretheoretic 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
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