By Phoebus J. Dhrymes
This ebook offers with a few mathematical issues which are of significant significance within the learn of classical econometrics. there's a long bankruptcy on matrix algebra, which takes the reader from the main simple facets to the partitioned inverses, attribute roots and vectors, symmetric, and orthogonal and confident (semi) sure matrices. The e-book additionally covers pseudo-inverses, options to platforms of linear equations, suggestions of vector distinction equations with consistent coefficients and random forcing capabilities, matrix differentiation, and permutation matrices. Its novel gains comprise an creation to asymptotic expansions, and examples of purposes to the general-linear version (regression) and the overall linear structural econometric version (simultaneous equations).
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Additional resources for Mathematics for Econometrics (4th Edition)
Sample text
26. e. A is of the form A= A11 0 0 . A22 Then, A is said to be a block diagonal matrix and is denoted by A = diag(A11 , A22 ). 4. Let A be a block diagonal matrix as above. Then, |A| = |A11 | |A22 |. Proof: Obvious. 44 CHAPTER 2. 22. Note that, in the definition of block triangular (or block diagonal) matrices, the blocks A11 , A22 need not be triangular (or diagonal) matrices. 30. Let A be a partitioned square matrix of order m, A= A11 A21 A12 , A22 where the Aii are nonsingular square matrices of order mi , i = 1, 2, , m1 + m2 = m.
4 Hermite Forms and Rank Factorization We begin with a few elementary aspects of matrix operations. 16. Let A be m × n; any one of the following operations is said to be an elementary transformation of A : i. Interchanging two rows (or columns); ii. Multiplying the elements of a row (or column) by a (nonzero) scalar c; iii. Multiplying the elements of a row (or column) by a (nonzero) scalar c and adding the result to another row (or column). The operations above are said to be elementary row (or column) operations.
1. Note that the first subscript locates the row in which the typical element lies, whereas the second subscript locates the column. For example, aks denotes the element lying in the k th row and s th column of the matrix A. When writing a matrix, we usually write its typical element as well as its dimension. Thus, A = (aij ), i = 1, 2, . . , m, j = 1, 2, . . , n, denotes a matrix whose typical element is aij and which has m rows and n columns. 1. Occasionally, we have reason to refer to the columns or rows of the matrix individually.