Mathematics for Econometrics / Edition 3

Mathematics for Econometrics / Edition 3

by Phoebus J. Dhrymes
     
 

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 introduces the reader from the most elementary aspects to partitioned inverses, characteristic roots and v ectors, symmetric, orthogonal and positive (semi) definite matrices. T he book also

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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 introduces the reader from the most elementary aspects to partitioned inverses, characteristic roots and v ectors, symmetric, orthogonal and positive (semi) definite matrices. T he book also covers psuedo-inverses, solutions to systems of linear eq uations, solutions of vector difference equations with constant coeffi cients and random forcing functions, matrix differentiation, permutati on matrices etc. Among its novel features is an introduction to asympt otic expansions, and examples of applications to the general linear mo del (regression) and the general linear structural econometric model ( simultaneous equations).

Product Details

ISBN-13:
9780387989952
Publisher:
Springer-Verlag New York, LLC
Publication date:
08/04/2000
Edition description:
3rd ed.
Pages:
253
Product dimensions:
0.55(w) x 6.14(h) x 9.21(d)

Related Subjects

Meet 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

1. Vectors and Vector Spaces.- 2. Matrix Algebra.- 3. Linear Systems of Equations and Generalized Inverses of Matrices.- 4. Vectorization of Matrices and Matrix Functions: Matrix Differentiation.- 5. Systems of Difference Equations with Constant Coefficients.

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