Mathematics for Econometrics

Front Cover
Springer Science & Business Media, Sep 24, 2013 - Business & Economics - 419 pages

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).

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Chapter 1 Vectors and Vector Spaces
1
Chapter 2 Matrix Algebra
12
Chapter 3 Systems of Linear Equations
95
Chapter 4 Matrix Vectorization
119
Chapter 5 Vector and Matrix Differentiation
149
Chapter 6 DE Lag Operators GLSEM and Time Series
171
Chapter 7 Mathematical Underpinnings of Probability Theory
197
Chapter 8 Foundations of Probability
235
Chapter 9 LLN CLT and Ergodicity
285
Chapter 10 The General Linear Model
309
Chapter 11 Panel Data Models
335
Chapter 12 GLSEM and TS Models
351
Chapter 13 Asymptotic Expansions
393
Bibliography
411
Index
413
Copyright

Other editions - View all

Common terms and phrases

About the author (2013)

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.

Bibliographic information