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An Introduction to Econometric Theory
book

An Introduction to Econometric Theory

by James Davidson
October 2018
Beginner content levelBeginner
250 pages
12h 14m
English
Wiley
Content preview from An Introduction to Econometric Theory

3Solving the Matrix Equation

3.1 Matrix Inversion

The last chapter discussed how the interpret the matrix equation

and established that the least squares normal equations have this form. The next question to address is, knowing images and images, how to discover images? And indeed, to determine whether an images exists to satisfy (3.1) and, if so, whether it is unique? All these questions can now be answered.

The first requirement is to define a special class of matrices. The identity matrix of dimension images is the square matrix having 1s in the diagonal positions and zeros elsewhere. In generic form, this is written

images

The subscript indicating the dimension is often omitted when the context is clear.

The special feature of the identity matrix is that when it pre‐ or postmultiplies a conformable matrix or vector, it leaves ...

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Publisher Resources

ISBN: 9781119484882Purchase book