  The holonomy algebras of Einstein not Ricci-flat pseudo-Riemannian manifolds
of arbitrary signature are classified. As illustrating examples, the cases of
Lorentzian manifolds, pseudo-Riemannian manifolds of signature $(2,n)$ and the
para-quaternionic-K\"ahlerian manifolds with non-zero scalar curvature are
considered. Einstein not Ricci-flat metrics of signature $(2,n)$ with all
possible holonomy algebras are given.
