The statistical models confronting econometricians are complicated in nature so it is no easy task to apply the procedures recommended by classical statisticians to such models. This book presents the reader with mathematical tools drawn from matrix calculus and zero-one matrices and demonstrates how the use of their tools greatly facilitates such applications in a sequence of linear econometric models of increasing statistical complexity. The book differs from others in that the matrix calculus results are derived from a few basic rules which are generalizations of the rules used in ordinary calculus. Moreover the properties of several new zero-one matrices are investigated.
Matrix Calculus and Zero-One Matrices
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"The major contribution of this book is to place together most of the well-known results along with many new results and provide illustrations." Mathematical Reviews
Book Description
The statistical models confronting econometricians are complicated in nature so it is no easy task to apply the procedures recommended by classical statisticians to such models. This book presents the reader with mathematical tools drawn from matrix calculus and zero-one matrices and demonstrates how the use of their tools greatly facilitates such applications in a sequence of linear econometric models of increasing statistical complexity. The book differs from others in that the matrix calculus results are derived from a few basic rules which are generalizations of the rules used in ordinary calculus. Moreover the properties of several new zero-one matrices are investigated.
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First Sentence:
An alternative title to this book could have been The Application of Classical Statistical Procedures to Econometrics or something along these lines. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
vector autoregressive disturbances, matrix calculus results, shifting matrices, generalized vec, backward chain rule, commutation matrix, commutation matrices, contains lagged dependent variables, presample values, lower triangular with ones, duplication matrix, classical statistical procedures, classical test statistics, elimination matrices, contains lagged values, autoregressive case, appropriate critical region, unit root problems, score vector, autoregressive system, standard asymptotic theory, vec operator, selection matrices, shifting matrix, main diagonal elements Key Phrases - Capitalized Phrases (CAPs): (learn more)
Proof of Theorem, Proof of Lemma, Proof of Proposition New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
An alternative title to this book could have been The Application of Classical Statistical Procedures to Econometrics or something along these lines. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
vector autoregressive disturbances, matrix calculus results, shifting matrices, generalized vec, backward chain rule, commutation matrix, commutation matrices, contains lagged dependent variables, presample values, lower triangular with ones, duplication matrix, classical statistical procedures, classical test statistics, elimination matrices, contains lagged values, autoregressive case, appropriate critical region, unit root problems, score vector, autoregressive system, standard asymptotic theory, vec operator, selection matrices, shifting matrix, main diagonal elements Key Phrases - Capitalized Phrases (CAPs): (learn more)
Proof of Theorem, Proof of Lemma, Proof of Proposition New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 14
books:
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- Instrumental Variables (Econometric Society Monographs) by Roger J. Bowden in Front Matter, and Back Matter
- Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics) by Halbert White in Back Matter
- Circulant Matrices (AMS Chelsea Publishing) by Philip J. Davis in Back Matter
- Handbook of Matrices by Helmut Lütkepohl in Back Matter
- Linear Algebra by S. Singh in Back Matter
See all 14 books this book cites
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