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Statistical Methods in Econometrics is appropriate for beginning
graduate courses in mathematical statistics and econometrics in
which the foundations of probability and statistical theory are
developed for application to econometric methodology. Because
econometrics generally requires the study of several unknown
parameters, emphasis is placed on estimation and hypothesis testing
involving several parameters. Accordingly, special attention is
paid to the multivariate normal and the distribution of quadratic
forms. Lagrange multiplier tests are discussed in considerable
detail, along with the traditional likelihood ration and Wald
tests. Characteristic functions and their properties are fully
exploited. Also asymptotic distribution theory, usually given only
cursory treatment, is discussed in detail.
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