Mathematics for Econometrics

By: Phoebus J. Dhrymes

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Paperback | 24 September 2013 | Edition Number 4

At a Glance

Paperback
440 Pages

Edition Type
Revised

Dimensions(cm)
23.3 x 16.0 x 2.4

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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).

Industry 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 can be used for students in an applied linear algebra course to find some applications." (Mehdi Hassani, MAA Reviews, July, 2014)

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