Title covers most of it. I'm an undergrad who will be graduating in a few weeks and will be starting a PhD Program in Economics. I'm interested in Econometric theory. I've taken undergrad level probstats, real analysis, abstract algebra, etc but wanted to work through a grad level textbook this summer to better prepare myself.

My analysis class didn't go too deeply into measure theory and I know I'll need that, so maybe a probability theory book that deals with that could help. "Measure Theory" by Doob has been floated by my Professors. Also, Royden's "Real Analysis" has been said to have a good amount of measure theory (not sure about the probability aspects in this one). I've used Baby Rudin, Abbott, and Apostle's analysis, so that's the background I'm coming from if that helps.

Let me know if this question is better suited for math.stackexchange.com instead too! First time posting here.

  • 1
    $\begingroup$ stats.stackexchange.com/a/6191/9330 might be helpful $\endgroup$
    – Adrian
    Mar 3, 2022 at 5:40
  • $\begingroup$ Beyond standard econometrics books, I would recommend Machine Learning: A Probabilistic Perspective by Kevin Murphy. A lot of modern Statistics and "Machine Learning" in the econometrics literature today. $\endgroup$
    – gtoques
    Mar 10, 2022 at 22:36


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