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MATRIX ALGEBRA, by Karim M. Abadir and Jan R. Magnus, Cambridge University Press, 2005

Published online by Cambridge University Press:  30 August 2006

Taisuke Otsu
Taisuke Otsu
Affiliation:
Yale University
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Extract

This book, Matrix Algebra, is the first volume of the Econometric Exercises series. Other volumes of the series (Statistics [vol. 2], Econometric Theory I [vol. 3], and Empirical Applications [vol. 4]) are to appear in the near future. A variety of planned titles will also follow (e.g., Time Series, Microeconometrics, and Financial Econometrics). Although there have been a few worked-exercise books in econometrics (e.g., Phillips and Wickens, 1978), this series is the first comprehensive exercise series in modern econometrics that covers the materials for advanced undergraduate and graduate econometrics courses. According to the preface, each volume follows the same format. Chapters start with a brief overview, and then exercises and solutions follow. Solutions are provided immediately after the exercise is posed. There is a variety of exercises from proofs and applications of theorems to numerical examples. In this review I discuss only the first volume in the Econometric Exercises series and find it very useful and successful. I expect succeeding volumes in the series to be of similar quality and usefulness, given the overall objectives of the series.

Type
BOOK REVIEWS
Information
Econometric Theory , Volume 22 , Issue 5 , October 2006 , pp. 968 - 972
Copyright
© 2006 Cambridge University Press

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References

REFERENCES

Abadir, K.M. & J.R. Magnus (2002) Notation in econometrics: A proposal for a standard. Econometrics Journal 5, 76–90.Google Scholar
Harville, D.A. (1997) Matrix Algebra from a Statistician's Perspective. Springer-Verlag.
Horn, R.A. & C.R. Johnson (1990) Matrix Analysis. Cambridge University Press.
Lütkepohl, H. (1996) Handbook of Matrices. Wiley.
Magnus, J.R. & H. Neudecker (1999) Matrix Differential Calculus with Applications in Statistics and Econometrics, rev. ed. Wiley.
Phillips, P.C.B. & M.R. Wickens (1978) Exercises in Econometrics. Ballinger Publishing.
Rao, C.R. & S.K. Mitra (1972) Generalized Inverse of Matrices and Its Applications. Wiley.