October 2018
Beginner
250 pages
12h 14m
English
In nearly every modelling exercise, explanatory variables fall into two groups. There are the focus variables, the significance, sign, or magnitude of whose coefficients are the object of the analysis. And there are also what are often called nuisance variables, which are included because they help to explain
, although there is no particular interest in their coefficients. Focus and nuisance parameters may be spoken of in the same vein. The intercept term is perhaps the most frequently encountered of the latter type. This is a natural motivation for partitioning the regressor matrix by columns and the coefficient vector to match. Choosing
and
such that
, write
where
is
and is , partition conformably, and hence write