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The History of Econometric Ideas covers the period from the late nineteenth century to the middle of the twentieth century, illustrating how economists first learned to harness statistical methods to measure and test the "laws" of economics. Though scholarly, Dr. Morgan's book is very accessible; it does not require a high level of prior statistical knowledge, and will be of interest to practicing statisticians and economists. ... Read more

Customer Reviews (1)

Morgan is,like Tinbergen and Frisch,addicted to the N(0,1)
Mary Morgan's book is an interestingsummary of the historical development of the use of statistical analysis in economics, which culminated in the birth of econometrics in the mid-1930's ,due to the work of Tinbergen and Frisch and to the work of Haavelmo in the 1940's through the mid 1950's.She traces the development of the application of statistics to economic data ,starting with discussions of laws of error through the development of least squares by Legendre,Laplace,and Gauss to applied work done by Edgeworth and Mitchell.The heart of the book involves the work of Tinbergen,Frisch,and Haavelmo in their development of multiple regression and correlation analysis and their use of these techniques to supposedly test different economic theories based on the analysis of time series data.Morgan does a very good job as long as she sticks to historical summary.Unfortunately, she,far to often,errs grievously when she attempts to assess the relative merits of different competing theoretical arguments.This is most obvious in her coverage of the 1939-40 debate between John Maynard Keynes andJan Tinbergen over the logical foundations of econometrics that took place in the Economic Journal(EJ).It also shows up in her strange claim that econometrics is an experimental method,which it certainly is not and will never be as long as the basic assumptions of the multiple regression and correlation approach are based on the mere assumption of a normal probability distribution.Morgan covers the Tinbergen-Keynes debate on pages 121-134.There is no evidence in this book that Morgan ever read any part of Keynes's A Treatise on Probability(1921;TP),much less the crucial parts of the TP that would allow a reader of the 1939-1940 exchange to understand the full force of Keynes's critique(chapter 17,pp.205-214,chapters 29 and 30,chapter 32,pp.391-393, pp.397-398,especially Keynes's discussion on p.398 of usingthe Lexis Q-testto test for the stability of, and justification for assuming the use of, a normal probability distribution,chapter 33,pp.408-409,415-416,and 420-421,especially ft.1 on pp.420-421,which summarizes the conclusions one can expect to derive from an application of the Lexis-Q test).The logical core of Keynes's critique is contained on page 568 of the Sept.,1939 EJ.Keynes states:"...the most important condition is that the environment in all relevant respects,other than the fluctuations in those factors of which we take particular account,shuold be uniform and homogeneous over a period of time."Keynes then suggests the formal procedure required to implement the application of the Lexis Q-test-breaking up the series(time series) into a set of subseries and then testing to see if each of the subseries' coefficients are generally the same(uniform) as the coefficients of the series.The results would be normal,subnormal,and supernormal(see Keynes's ft.1 on pp.420-421 of the TP).One criticism of Keynes(minor)is that he did not explicitly mention the Lexis Q-test.Keynes probably did not want to preclude other tests for normality,such as the Chi-Square.No where in Tinbergen's two volume work is there any such test.Keynes,however,could have told Tinbergen the results of such a test in advance.Due to constantly changing expectations of future expected profits and constant new investment in a capital stock changing due to constant technological change,advance and innovation over the long run period of time that would constitute the relevant time series,the necessary uniformity and homogeneity needed to apply a normal probability assumption would fail the test. The Keynes of the TP also had a suggested solution-use Cheybshev's inequality(see chapter 29 of the TP) and other measures of central tendency(law of errors) such as the median,harmonic mean and geometric mean(see chapter 17 of the TP).Morgan discusses the assumption of normality(see pp.8-9,60,113,117,240)that underlies the entire edifice of Tinbergen's econometrics without mentioning a single piece of empirical,experimental or historical evidence that would supplysome amount of justification for such an assumption. In many respects,Keynes's argument against the misuse and abuse of the assumption of a normal probability distribution to test different theories of the business cycle ,using time series data, can be viewed as an earlier underdeveloped version of Benoit Mandelbrot's overwhelming critique of the misuse and abuse of the normal distribution in finance and portfolio theory.It is now obvious,due primarily to Mandelbrot's 50 years of scholarly work,that predictionsabout future price movements in the stock,money,bond,commodity, andcurrency exchange marketsare all wrong.It should not be surprising that attempts to predict changes in the business cycle over the 65 years since the Tinbergen-Keynes debate have also turned out to be badly off the mark.I recommend that a reader of Morgan's book also purchase Hugo Keuzenkamp's 2001 book,titled Probability,Econometrics and Truth and Benoit Mandelbrot's 2004 book,The (Mis) Behavior of Markets in order to fully grasp the case against present day econometric practice.Econometrics is presently reduced to the short run estimation of coefficients based on the use of cross-sectional data. ... 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Two very topical research questions are addressed in this book: Which are the determinants of new business formation and their survival, and will business start-ups, especially in the service sector, create employment and thereby generate growth? The analysis is based on a unique dataset consisting of the population of all businesses with at least one employee under social security in Germany in all private industries (manufacturing and services). State-of-the-art econometric techniques are used throughout the book, taking into account the multi-dimensional character of the determinants. Using Germany as an example, the book gives a comprehensive review on entrepreneurial activity, and draws the general conclusion that new businesses should not be subsidized with a watering can.

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This revolutionary text covers single-equation linear regression analysis in an easy-to-understand format that emphasizes real-world examples and exercises. This intuitive approach focuses on learning how to use econometrics, not on matrix algebra or calculus proofs. Clear, accessible writing and numerous exercises provide students with a solid understanding of applied econometrics. This new approach is accessible to beginning econometrics students as well as experienced practitioners. ... Read more

Customer Reviews (9)

Using Econometrics review
I enjoyed the book. I've had just a couple of graduate level stats/forecasting classes and probably know just enough to be dangerous. This book was very straightforward and introduced me to a few regression topics that grad school missed and was a good refresher for things I'd learned but long-forgotten. If you're looking to improve your understanding of regression analysis and how its used but don't want to get into a Ph.D. level of explanation, I recommend this book.

Go-to book for regression analysis
Perhaps A.H. Studenmund wrote his book for economics students, but as a biomedical scientist, Using Econometrics is my go-to reference for applied regression analysis, period. I know of no other book on the subject that is more understandable, succinct and eaisly applied to real-world problems.

Very understandable introduction to econometrics
First of all I will admit, this is the only book I have read for econometrics.It was the book chosen by my professor for my eonometrics class while doing my undergraduate in economics.Having said that I recommend the book.I feel that it is a very good intro to a subject that can get weighted down in technical difficulties for the beginning student.Some people have complained about its lack of rigor or lack of proofs but I feel that is unjustified because all it really does is utilize statistical principles for economics.At my university, and I would assume most, stats was a prereq for this course and in stats you should cover the real nuts and bolts of statistical theory.This would give you your proofs and underlying understanding of the hands on approach this book gives for econometrics.I think that this book is good in that it does give, as it says, a practical guide to econometrics enabling the student to move on to the more analytically rigorous studies of the field.It doesn't overwhelm but leaves you with a foundational sense of understanding.

Fulfil expectations
That book goes straight to the point. First, the title of the book is 100% appropriate.It is about how to use econometrical tools in practice. Second, exercises are E-views oriented, which is also a good point given the user-friendly E-views interface. This book is a very good introductory book for applied econometrics.I've read some reviews criticizing the book for its novice approach and lack of theoretical ground.Well, I would have done so too IF AN ONLY IF the book title had been "Advanced Theory in Econometrics". But it is not!

Good Starting Point for Econometrics
In 2000, I wrote a review of this text.I still stand by my assertion that this is an excellent introduction to econometrics.One thing that I failed to mention in my 2000 review is that this book is good for people who have never seen econometrics in their life.Furthermore, don't expect to see proofs, theorems, etc.This book does not emphasize mathematics.

For a good introductory book that does incorporate calculus, some proofs, etc., get Gujarati's "Basic Econometrics" (not to be confused with Gujarati's "Essentials of Econometrics").If you're only going to have one introductory book, and you want a mathematical treatment, get Gujarati.If you want an introductory book without a mathematical treatment, get Studenmund. ... Read more

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This dictionary presents an accessible source of reference on the main concepts and techniques in econometrics. Featuring entries on all the major areas in theoretical econometrics, the dictionary should by useful for students, both undergraduate and postgraduate, to aid their understanding of the subject. Sorted by alphabetical order, each entry is a short essay which is designed to present the essential points of a particular concept or technique and offer a concise guide to other relevant literature. The book adopts non-technical language to make the topics accessible to those who need to know more about applied econometrics and the underlying econometric theory. It should be useful as a supplement to the standard textbook literature and for students following modular courses. ... Read more

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This is a textbook for the standard undergraduate econometrics course. Its only prerequisites are a semester course in statistics and one in differential calculus. Arthur Goldberger, an outstanding researcher and teacher of econometrics, views the subject as a tool of empirical inquiry rather than as a collection of arcane procedures. The central issue in such inquiry is how one variable is related to one or more others. Goldberger takes this to mean "How does the average value of one variable vary with one or more others?" and so takes the population conditional mean function as the target of empirical research.

The structure of the book is similar to that of Goldberger's graduate-level textbook, A Course in Econometrics, but the new book is richer in empirical material, makes no use of matrix algebra, and is primarily discursive in style. A great strength is that it is both intuitive and formal, with ideas and methods building on one another until the text presents fairly complicated ideas and proofs that are often avoided in undergraduate econometrics.

To help students master the tools of econometrics, Goldberger provides many theoretical and empirical exercises and, on an accompanying diskette, real micro-and macroeconomic data sets. The data sets deal with earnings and education, money demand, firm investment, stock prices, compensation and productivity, and the Phillips curve.

THE DATA SETS CAN BE FOUND HERE.

Customer Reviews (3)

Metrics
I might be biased given that professor Goldberger taught at my undergrad school. But this book is quite nice. I can see how for some people it is not clear enough: this book is a rigorous, little, dense brick packed with information and no fancy/cute diagrams.

To really get something out of it, i could not just read it, but rather had to sit down with pen and paper and write down along the concepts. If you are willing to do that, then you will really enjoy it, as i certainly did.

Don't buy unless required
This book was the required text for my first econometrics class.I foundit unclear and ended more confused after consulting the text than before. It is very theory-based, and not very helpful if you're looking for a bookabout practical applications of econometric models.The only way I gotthrough econometrics was using Pindyck and Rubinfeld's Econometrics book. Goldberger's book was short with too few examples, problems at the end ofthe chapter which were not discussed in the chapter.If you are buyingthis as a first econometrics book, don't, and if you're well versed ineconometrics, then you don't need an intro book.This book caters to nolevel of econometric student.

Sets the Standard for undergraduate study of Econometrics
This book begins with the simplest of concepts and gradually builds into more complex concepts by the end of the book.In the mean time the reader attains a better understanding of each issue while slowly broadening hisscope at a pace that is very comfortable. ... Read more

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Spatial Econometrics is a rapidly evolving field born from the joint efforts of economists, statisticians, econometricians and regional scientists. The book provides the reader with a broad view of the topic by including both methodological and application papers. Indeed the application papers relate to a number of diverse scientific fields ranging from hedonic models of house pricing to demography, from health care to regional economics, from the analysis of R&D spillovers to the study of retail market spatial characteristics. Particular emphasis is given to regional economic applications of spatial econometrics methods with a number of contributions specifically focused on the spatial concentration of economic activities and agglomeration, regional paths of economic growth, regional convergence of income and productivity and the evolution of regional employment. Most of the papers appearing in this book were solicited from the International Workshop on Spatial Econometrics and Statistics held in Rome (Italy) in 2006.

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Written by two top statisticians with experience in teaching matrix methods for applications in statistics, econometrics and related areas, this book provides a comprehensive treatment of the latest techniques in matrix algebra. A well-balanced approach to discussing the mathematical theory and applications to problems in other areas is an attractive feature of the book. It can be used as a textbook in courses on matrix algebra for statisticians, econometricians and mathematicians as well. Some of the new developments of linear models are given in some detail using results of matrix algebra. ... Read more

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This is the first of three volumes containing edited versions of papers and a commentary presented at invited symposium sessions of the Ninth World Congress of the Econometric Society, held in London in August 2005. The papers summarise and interpret key developments, and they discuss future directions for a wide variety of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline. ... Read more

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During the past few decades, the interest of economists in thesources of long-term economic growth has led an increasing number ofthem to focus on the role of innovation in creating that growth.Although some researchers have always been interested in this topic,the groundbreaking work of Solow (1957), Nelson (1959) and Arrow(1962) made many other economists recognize the central role played byinnovation in almost all spheres of economic activity. The Economics and Econometrics of Innovation presents a valuableoverview of the work of the world's most renowned experts in the fieldof innovation and technical change. It collects 22 outstandingcontributions that reflect the results of the vast, worldwide researchefforts and remind us of the importance of economic incentives inshaping and directing innovative activities. The volume presents anedited selection of papers that were first presented at the 10thInternational ADRES conference. One particular goal of this book is tobring out the complementary nature of the various approaches toinnovation, and to facilitate in-depth dialogues both betweenmicroeconomists and macroeconomists, and between theoreticians andeconometricians. General topics that are considered range from theeconomy-wide effects of innovation on growth and employment to thevariation of individual firm innovative performance; from the analysisof networks and standardization to the role of intellectual propertyrights and the assessment of knowledge spillovers. Besides the wealthof information presented in the chapters, readers of this volume willalso appreciate the value of examining a single question fromdifferent angles and by using different methods. ... Read more

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As the field of transportation moves toward the "total quality management" paradigm, performance-based outcomes and quantitative measures have become increasingly important. Measuring performance in the field depends heavily on modeling trends and data, which in turn requires powerful, and flexible analytical tools. To date, however, transportation professionals have lacked a unified, rigorous guide to modeling the wide range of problems they encounter in the field. Statistical and Econometric Methods for Transportation Data describes the techniques most useful for modeling the many complex aspects of transportation, such as travel demand, safety, emissions, and the environment. Taking care not to overwhelm readers with statistical theory, the authors clearly and concisely present the relevant analytical methods in quantitative chapters built on transportation case studies. Mastering this material enables readers to:·Formulate research hypotheses·Identify appropriate statistical and econometric models·Avoid common pitfalls and misapplications of statistical methods·Interpret model results correctlyIdeal as both a textbook and reference, this book makes three unique contributions to transportation practice and education. First, it presents a host of analytical techniques-both common and sophisticated-used to model transportation phenomena. Second, it provides a wealth of examples and case studies, and third, it specifically targets present and future transportation professionals. It builds the foundation they need not only to apply analytical models but also to understand and interpret results published elsewhere. ... Read more

Customer Reviews (1)

Challenging, but not too overwhelming.
This excellent book describes the techniques most useful for modeling the many complex aspects of transportation, such as travel demand, safety, emissions, and the environment. Taking care not to overwhelm readers with statistical theory, the authors clearly and concisely present the relevant analytical methods in quantitative chapters built on transportation case studies. ... Read more

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As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice behavior and social interactions. All of the essays in this volume and its companion volume 6B offer guidance to the practitioner on how to apply the methods they discuss to interpret economic data. The authors of the chapters are all leading scholars in the fields they survey and extend.

*Part of the renown Handbooks in Economics series
*Updates and expands the exisiting Handbook of Econometrics volumes
*An invaluable reference written by some of the world's leading econometricians. ... Read more

Customer Reviews (1)

Terrible customer service
The seller shipped me wrong item.I actually purchased Volume 6, but htey shipped volume 5.When I contacted them they said I actually ordered volume 5 without checking the problem that was going on at the website.I have purchased hundreds of books from Amazon.com and I am extremely upset how this sale turned out to be.
Aydin ... Read more

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This concise textbook is an introduction to econometrics at the graduate or advanced undergraduate level.It differs from other books in econometrics in its use of the Bayesian approach to statistics. This approach, in contrast to the frequentist approach to statistics, makes explicit use of prior information and is based on the subjective view of probability, which takes probability theory as applying to all situations in which uncertainty exists, including uncertainty over the values of parameters. ... Read more

Customer Reviews (3)

Very Brief
This is a very brief intro that is suitable for an low-level undergrad text.The material presented is good with a lot of verbage but there is no depth (or math).Greenberg must also be living in an alternate universe as he states that Gelman et al.'s 'Bayesian Data Analysis' is an 'intermediate' text but that Lee's 'Bayesian Statistics' is an 'advanced' text - this is exactly backward - ask any grad stat student from the past 10-15 years.Moreover, Greenberg's book is a coloring book compared to Lee's.Best to check out of the library for a look over as not much is there.

Addendum:there is no errata given at his website even though he states in the intro there is - and this book is full of them - buyer beware!

For Bayesian Fans
Though Prof Greenberg has retired, he is still very active. A must for a Bayesian Fan. Though the book doesnt cover stuffs in details, it gives a good overview of a large number of topics.

This is the best first book on Bayesian statistics
Though Ed Greenberg is retired (emeritus) he offered a class based on a draft version of this book in the spring of 2007. I was lucky enough to have the chance to take this class, and it has changed the way I see statistics.

I am a former mathematician now training to be a political scientist. The statistics I learned before last year turned me off.What I now know as "frequentist" (or "likelihoodist") statistics seemed like a patchwork of techniques and estimators, a menagerie of coefficients and test statistics. This left me mostly uninterested in leveraging my math skills for doing statistics in political science.

Then I took Ed's class.The book lays it all out.His course was good, but the book made statistics seem almost simple.More accurately, Bayesian methods provide a more unified way of approaching statistical inference.

Many books on Bayesian methods (Carlin and Lewis, Gelfand et al, Press, Gill, others) get too far down into the minutiae of doing Bayesian inference to make clear the overall themes to someone who hasn't worked with Bayesian methods.Ed starts from the beginning, discussing some of the history of statistics and then building from scratch a notion of probability.Specifically, he goes through how frequentists and Bayesians define probability differently, how the different definitions are equivalent in some ways, and how the differences lead to the very different ways of drawing conclusions about the world.

Part I of the book lays out the "Fundamentals of Bayesian Inference," including how to make inferences from posterior distributions, choosing prior distributions, and analytic solutions for a few cases where one can "do" Bayesian stats without a computer.

Part II discusses "Simulation," the essential application of computers that has made Bayesian inference possible only in the last 20 years.Ed explains how classic simulation works, then spends a chapter giving a basic understanding of Markov chains before diving headfirst into the workhorses of MCMC: the Gibbs sampler and the Metropolis-Hastings algorithm. Examples give pseudo-code that is detailed enough so that one can readily turn the math into working code using your language of choice, such as R (http://www.r-project.org/).

Part III describes specific applications and addresses solutions to problems unique to each model.Here he leverages the modular but unified approach Bayesian stats allows for fitting models by building up more complicated models out of simpler models.

For the class I took, we did all of the exercises in the first two parts and then we wrote a paper using Bayesian methods.A student or researcher who has some experience with Maximum likelihood techniques should be able to read this book, work through the exercises, and then be able to use them for some of the more common models used today.Then, one should go further and read books or articles diving deeply into the esoterics of a particular model.However, this book is the best introduction I have seen for Bayesian methods. ... Read more

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This is one of the first books to provide a textbook exposition of the literature on how to measure accurately the 'effects' of a 'treatment,' such as a drug, educational program, or tax regime, on a response variable like an illness, GPA, or income. The book focuses on non-experimental, micro-economic estimation. ... Read more

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The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses.
For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
... Read more

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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. ... Read more

Customer Reviews (2)

A very disappointing book: extremely complicated
Christian Gouriéroux is maybe the best French econometrician. In particular, his last discovery, the indirect inference, seems to be a very clever way of solving the problem of highly complicated likelihood functions. But in this book, only 4 pages are dedicated to present the subject, and they are filled with over complicated mathematical formulas and a very short explanation. The notations are extremely complicated for economists (at least for myself) and, if you don't have a very solid mathematical background, you'll feel lost from the beginning until the last one. Nor undergraduate economics students neither graduate applied econometricians should feel comfortable with the style of the book. I guess only professional researchers are aimed by this book. It's rather disappointing, because the array of subjects are very interesting and the author is a great econometrician.

Wonderful Introduction to the Topic
A truly wonderful book. If you like simulation-based methods or you are just interested in learning about the frontier in econometrics, buy this book. You are not going to find a better introduction or a clearerdescription of issues ... Read more

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This econometrics text helps the reader to apply econometric techniques to a variety of empirical problems, using classic and contemporary data sets provided on a diskette. Each chapter begins with a discussion of economic theory underlying an application. It then summarizes the most important empirical findings, and involves the reader in a carefully designed set of exercises involving replication and extension of typical empirical findings. To assist the reader in hands-on applications, special manuals are available for purchase that implement the exercises on the widely-used computer econometric software programs, MicroTSP and SHAZAM. ... Read more

Customer Reviews (4)

Superb and unique econometrics textbook
There is no econometrics textbook like this.

Each chapter covers both an economic topic and an econometric topic.For example, chapter 5 presents indicator (dummy) variables in the context of wage determination, with specific examples of union membership and racial discrimination.Chapter 6 presents time-series methods in the context of macroeconomic investment models. Unlike most econometric textbooks, even those with good examples, the econometrics serves the economics, as it should be in the actual practice of economic research.

The reviews of economic literature are exceptionally good--in every chapter on every topic. I would start a graduate student interested in investment on chapter 6 of this book; it ranges from Keynes to Jorgenson.I learned the Mincer model of wage determination from chapter 5--Nada Eissa and Hilary Hoynes taught us the rationale for the log-linear functional form from this chapter.There is more deep and practical information about price indexes and the nuances of their construction (Chapter 3, including lessons from asparagus prices in Boston and Congressional hearings on monopoly power in the auto industry) than most econ graduate students encounter.Each chapter is a gem for both the economic and econometric content.

The presentation of econometric methods is serious but not algebraically rigorous.Graduate students will need Greene or GHJ (?) and even undergraduates would be wise to supplement with Stock and Watson, Wooldridge, Gujarati, or a similar text.

The book is, sadly, aging, and both the lit reviews and econometric methods now seem dated.For example, there is little on panel data methods, limited dependent variables, or treatment-model, quasi-experimental approaches to identification.The sections on 2sls come across as old-fashioned (focused on rank and order conditions rather than the sources of exogenous variation).

I imagine that writing this book was exhausting because each chapter is so carefully constructed from a full economic literature, but it's really too bad that there hasn't been an update.

Students can learn a lot about economics, econometrics, and writing about econometric results from this book.Highly recommended.

The best applied econometric book
This is simply the best.
Many books have excellent theory, but no real cases for study and test. Hayashi's book, for example, try to combine theory and empirical exercises, but I think is a far better approach take a good theory book and a good applied-empirical book. The best option for the theory is a polemic debate (maybe Davidson and MacKinnon's Estimation and Inference) but the best option for the applied econometric book is not, because you have this one.
Enjoy it.

The best applied econometric book
This is simply the best.
Many books have excellent theory, but no real cases for study and test. Hayashi?s book, for example, try to combine theory and empirical exercises, but I think is a far better approach take a good theory book and a good applied-empirical book. The best option for the theory is a polemic debate but the best option for the applied econometric book is not, because you have this one.
Enjoy it.

A great econometric resource.
I think this is an excelent econometric book. At the beginning of every chapter, you can find excelent case-examples describing the econometric tools you are about to study. However, I think it is recomendable tocomplete some statistics issues and topics with some other books likeKmenta's "Elements of Econometris" or Johnston & DiNardo,since Mr. Berndt is mainly focused in real world applications. ... Read more

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The first volume of the Econometric Exercises Series, Matrix Algebra contains exercises relating to course material in matrix algebra that students are expected to know while enrolled in an (advanced) undegraduate or a postgraduate course in econometrics or statistics. The book features a comprehensive collection of exercises with complete answers.More than just a collection of exercises, the volume is a textbook organized in a completely different manner than the usual textbook. It can be used as a self-contained course in matrix algebra or as a supplementary text. ... Read more

Customer Reviews (2)

An excellent summary of many weird matrix results
I have used this book as the source of inspiration for the introductory/background part of my doctorate level multivariate class when I was covering the foundations of matrix theory, this way and out. MANOVA and discriminant analysis are about the spectrum of W^{-1} B -- here are exercises on inverses, spectral decomposition, and traces. Marginal and conditional distributions of a multivariate normal are themselves normal -- here are block matrix results for inverses and such that those normality theorems are based on. Effects of non-normality come from the higher order moments -- here are Kronecker products to define those moments, and duplication matrices to deal with redundant elements. You want to see the effects of non-normality on your PCA or SEM procedures -- here are the matrix calculus results, the foundations of the matrix version of the delta method.

I won't be repeating the coverage of the book -- you can look at the Contents. What follows the Contents in the book is the list of exercises -- if you remember what it is that you want to find by name (Schur's inequality... 3x3 block inverse... determinant of the bordered Gramian...) you might be able to do that from that list. So the second use of the book beside the obvious source of homework, practice and test problems is a reference on the interesting results in matrix theory -- and not just the plain vanilla matrix algebra as one probably had had in their undergraduate courses (linear spaces, bases, ranks, linear systems, determinants, inverses -- and there's relatively not that much of it, as other books will have that covered in greater detail), but with all the stuff that one would need for serious multivariate research -- matrix calculus, vectorizations and Kronecker products, factorizations, commutation and duplication matrices. It was a savior for my research work time with those advanced results a couple of times.

Highly recommended for:
* any teacher of a graduate level course that involves serious matrix operations (advanced linear models, advanced multivariate statistics; the authors come from econometric tradition, so there must be some advanced econometric classes where that would be an important book, although I would probably see this stuff scattered over several courses, as far as I understand the typical econometric sequences);
* any researcher developing multivariate techniques that are heavily matrix-based. I work in structural equation modeling, and I've also found uses of matrix calculus in my earlier work in spatial statistics, although mostly based on earlier Jan Magnus' book with Heinz Neudecker, Matrix Calculus, that I was translating to Russian at some point in my life. Another suggested book specifically for multivariate results in matrix forms, in the most abstract ways, is Kollo and von Rosen, Advanced Multivariate Statistics with Matrices.

a good book
I think this book is a good reference book for the matrix tools used in econometrics. ... Read more