Book recommendation for regression techniques

Question

I'm taking my first course that contains regression techniques, analysis of variances and time series. What would you recommend if I would like to lean the mathematical theory behind those methods? For example, my lecture notes says that in least square method one can show that the estimation of regression coefficients has the form

$$s.e.(\hat{\beta_0})=\sqrt{\frac{\sum_{i=1}^n(y_i-\hat{y_i})^2}{n-2}\left (\frac{1}{n}+\frac{\bar{x}^2}{\sum_{i=1}^n (x-\bar{x})^2}\right )}$$

but I would like to learn proofs of such things.

Answer 1

Linear Regression Analysis by Seber and Lee.

This book contains classical results with their corresponding proofs.

Answer 2

"Applied Linear Regression Models" by Kunter, Nachtsheim, and Neter might be worth a look for you. I used it in my regression modeling class.

Answer 3

Casella and Berger's Statistical Inference is pretty good.