By Christian Gourieroux, Alain Monfort, Quang Vuong
This two-volume paintings goals to offer as thoroughly as attainable the equipment of statistical inference with specified connection with their financial functions. it's a well-integrated textbook proposing a large range of versions in a coherent and unified framework. The reader will discover a description not just of the classical ideas and result of mathematical information, but additionally of ideas and techniques lately constructed for the explicit wishes of econometrics. even if the 2 volumes don't call for a excessive point of mathematical wisdom, they do draw on linear algebra and likelihood concept. The breadth of methods and the vast assurance of this two-volume paintings offer for a radical and fully self-contained path in sleek economics. quantity 1 offers an advent to common recommendations and strategies in information and econometrics, and is going directly to hide estimation and prediction. quantity 2 makes a speciality of checking out, self belief areas, version choice, and asymptotic concept.