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I started my PhD study in Econometrics last month. Currently I am studying some compulsory course works (Probability theory and Statistical Inference), and also reviewing the literature in my field. I would also like to study some more mathematics, which I believe will make me more prepared for my formal research. Can anyone suggest some math (text)books ?

Thanks a lot.

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  • $\begingroup$ It would help if you describe your current mathematics standing. Three semesters of calculus? BSc in math? Any measure theory? Any matrix algebra? Any real analysis? Any programming experience? $\endgroup$ – StasK May 5 '12 at 16:25
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Take a look at the math section at http://econphd.econwiki.com/books.htm. I would also add the two measure theory books from the econometrics section.

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You may also check http://tinyurl.com/82eyplb and if you are willing to spend more http://www.springer.com/economics/econometrics/book/978-0-387-77316-2 will give you some programming experience in R (good for Statistics)

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