Handbook of Econometrics Volume 1 by Z. Griliches (Editor), M.D. Intriligator (Editor)

By Z. Griliches (Editor), M.D. Intriligator (Editor)

The instruction manual is a definitive reference resource and educating reduction for econometricians. It examines versions, estimation idea, info research and box functions in econometrics. entire surveys, written through specialists, speak about contemporary advancements at a degree compatible for pro use through economists, econometricians, statisticians, and in complicated graduate econometrics classes. for additional information at the Handbooks in Economics sequence, please see our domestic web page on http://www.elsevier.nl/locate/hes

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A, on the diagonal. 6) 32 H. 4). Therefore, when we postmultiply a symmetric matrix A by a matrix X consisting of characteristic vectors of A and premultiply by X’, we obtain the diagonal matrix containing the latent roots of A. This double multiplication amounts to a diagonalization of A. 4) implies X’ = X-’ or XX’ = 1, A = XAX’= i &x,x;. 7), the columns of X being characteristic vectors of A and A being diagonal with the latent roots of A on the diagonal. The only difference is that in the case of multiple roots (Ai = Aj for i * j) the associated characteristic vectors (xi and fj) are not unique.

The independence transformation in microeconomic theory The principal component technique can be extended so that two square matrices are simultaneously diagonalized. An attractive way of discussing this extension is 41 Ch. I: Linear Algebra and Matrix Methods in terms of the differential demand and supply equations of Section 5. 11) with only one relative price. Preference independence amounts to additive utility and is thus quite restrictive. But if the consumer is not preference independent with respect to the N observed goods, we may ask whether it is possible to transform these goods so that the consumer is preference independent with respect to the transformed goods.

AX= [Ax, . ] = [X,x, . 5) where A is the diagonal matrix with h,, . . , A, on the diagonal. 6) 32 H. 4). Therefore, when we postmultiply a symmetric matrix A by a matrix X consisting of characteristic vectors of A and premultiply by X’, we obtain the diagonal matrix containing the latent roots of A. This double multiplication amounts to a diagonalization of A. 4) implies X’ = X-’ or XX’ = 1, A = XAX’= i &x,x;. 7), the columns of X being characteristic vectors of A and A being diagonal with the latent roots of A on the diagonal.

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