Mathematics for Econometrics

Business & Finance, Economics, Econometrics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Mathematics for Econometrics by Phoebus J. Dhrymes, Springer New York
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Author: Phoebus J. Dhrymes ISBN: 9781461481454
Publisher: Springer New York Publication: September 24, 2013
Imprint: Springer Language: English
Author: Phoebus J. Dhrymes
ISBN: 9781461481454
Publisher: Springer New York
Publication: September 24, 2013
Imprint: Springer
Language: English

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).

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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).

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