Mathematics for Econometrics

Phoebus J. Dhrymes

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).

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

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.

Bibliographic information

• Title: Mathematics for Econometrics; SpringerLink : Bücher
• Author: Phoebus J. Dhrymes
• Edition: 4, illustrated
• Publisher: Springer Science & Business Media, 2013
• ISBN: 1461481457, 9781461481454
• Length: 419 pages
• Subjects: Business & Economics / Econometrics; Business & Economics / General; Business & Economics / Statistics; Mathematics / Game Theory; Mathematics / Probability & Statistics / General