The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. Therefore, the text provides all the proofs, or at least motivations if proofs are too complicated, of the mathematical and statistical results necessary for understanding modern econometric theory. In this respect, it differs from other econometrics textbooks.

1 Probability and Measure 

2 Borel Measurability, Integration, and Mathematical Expectations 

3 Conditional Expectations 

4 Distributions and Transformations 

5 The Multivariate Normal Distribution and Its Application to Statistical Inference

6 Modes of Convergence 

7 Dependent Laws of Large Numbers and Central Limit Theorems 

8 Maximum Likelihood Theory 

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