Mathematics for Econometrics

by Phoebus J. Dhrymes

Overview

This book deals with a number of mathematical topics that are of great importance in the study of classical econometrics. There is a lengthy chapter on matrix algebra, which takes the reader from the most elementary aspects to the partitioned inverses, characteristic roots and vectors, symmetric, and orthogonal and positive (semi) definite matrices. The book also covers pseudo-inverses, solutions to systems of linear equations, solutions of vector difference equations with constant coefficients and random forcing functions, matrix differentiation, and permutation matrices. Its novel features include an introduction to asymptotic expansions, and examples of applications to the general-linear model (regression) and the general linear structural econometric model (simultaneous equations).

Product Details

ISBN-13:	9781461481454
Publisher:	Springer-Verlag New York, LLC
Publication date:	09/24/2013
Sold by:	Barnes & Noble
Format:	eBook
File size:	6 MB

About the Author

Professor Dhrymes is currently Professor of Economics at Columbia University. Earlier he taught at Harvard, University of Pennsylvania, University of California at Los Angeles, and Monash University in Australia.

He is a fellow of the Econometric Society and the American Statistical Association. He has been a managing editor and editor of the International Economic Review, and one of the founding editors of the Journal of Econometrics. Professor Dhrymes serves on the Editorial Advisory Boards of the Journal of Econometrics and Econometric Theory.

Table of Contents

Preface.- Chapters.- Bibliography.- References.

Editorial Reviews

Dhrymes’ Mathematics for Econometrics is an interesting book for review in Technometrics. Econometrics is an area likely studied by quite a few readers, especially those with graduate backgrounds in business and/or economics. The current text offers an excellent reference for readers wishing to study econometrics in the future … . Statisticians will find it useful as well, both as a reference and as a potential course supplement.” (J. Douglas Barrett, Technometrics, Vol. 57 (1), February, 2015)

“The book under review includes topics from mathematics for econometrics, mainly from linear algebra and probability theory. … In addition to people working econometrics, this book canbe used for students in an applied linear algebra course to find some applications.” (Mehdi Hassani, MAA Reviews, July, 2014)

From the Publisher