This book represents a first course in econometrics, assuming only some knowledge of elementary probability theory and statistics on the part of the student. Its rigorous and comprehensive discussion concentrates on the general linear model, treating the standard case as well as the consequences...

This booklet was begun as an appendix to Introductory Econometrics. As it progressed, requirements of consistency and completeness of coverage seemed to make it inordinately long to serve merely as an appendix, and thus it appears as a work in its own right. Its purpose is not to give rigorous...

1 Vectors and Vector Spaces -- 2 Matrix Algebra -- 3 Linear Systems of Equations and Generalized Inverses of Matrices -- 4 Vectorization of Matrices and Matrix Functions: Matrix Differentiation -- 5 Systems of Difference Equations with Constant Coefficients -- References.

1. Elementary Aspects of Multivariate Analysis -- 1.1 Preliminaries -- 1.2 Joint, Marginal, and Conditional Distributions -- 1.3 A Mathematical Digression -- 1.4 The Multivariate Normal Distribution -- 1.5 Correlation Coefficients and Related Topics -- 1.6 Estimators of the Mean Vector and...

This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be extremely sensitive to the number of securities used in the two stages of the tests of the APT model. New tests also indicate that unique risk is fully as important as common risk. While these tests...