On the nonnegativity of \(XX^+\) and its relevance in econometrics (Q762872): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 11:25, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On the nonnegativity of \(XX^+\) and its relevance in econometrics |
scientific article |
Statements
On the nonnegativity of \(XX^+\) and its relevance in econometrics (English)
0 references
1985
0 references
Let X be an \((n\times p)\) matrix of rank \(m>0\) with \(r\leq n\) ''non- proportional'' rows and let the (r\(\times p)\) matrix B contain these rows. Then \(X=AB\) with A having exactly one nonzero element in each row. A necessary and sufficient condition that \(XX^+\) has only nonnegative elements, is that \(m=r\) and that each column of A is either nonnegative or nonpositive. \((X^+\) denotes the Moore-Penrose inverse of the matrix X.) The relevance of this result regarding least squares estimation of the systematic part of linear models is discussed. Extensions are given for weighted least squares estimation in case of heteroskedasticity.
0 references
Moore-Penrose inverse
0 references
least squares estimation
0 references
linear models
0 references
weighted least squares
0 references
heteroskedasticity
0 references