Mathematics for econometrics.

MaRDI QIDQ4509490zbMATH OpenFDO

Authors Phoebus J. Dhrymes

Publication date 16 October 2000

zbMATH Keywords

asymptotic expansionseconometricsgeneral linear modelsgeneral linear structural econometric modelsmatrix algebramatrix differentiationpermutation matricespseudo-inversesrandom forcingregressionsimultaneous equationsvector difference equations with constant coefficients

Mathematics Subject Classification ID

Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Applications of statistics to economics (62P20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Review text

This book is dedicated to make the reader familiar with those mathematical topics that are of great importance in the study of general linear models and general linear structural econometric models. There is a lengthy chapter on matrix algebra, which takes the reader from the most elementary aspects to partitioned inverses, characteristic roots and vectors, symmetric, and orthogonal and positive definite matrices. There are also chapters, in which 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 are considered in detail. One of the chapters is devoted to an introduction to asymptotic expansions, after which two applied chapters follow. In these chapters there are given examples of applications to the general linear model (regression) and the general linear structural econometric model (simultaneous equations). For a review of the 1st ed. (1978) see [Zbl 0409.90001].

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