Book Review: Matrix Differential Calculus with Applications in Statistics and Econometrics, 3rd Edition, Jan R. Magnus and Heinz Neudecker, John Wiley & Sons, 2019.

The book has become the standard reference on matrix differential calculus since first published in 1988. This is the third edition of the book, with seven parts devoted to the theory and application of matrix differential calculus. Matrix differential calculus was pioneered and promoted by the authors and developed on with many other contributors in the last several decades, especially the late Professor Heinz Neudecker. As stated in the preface to this new edition, ‘Heinz Neudecker must be regarded as its founding father’.