Econometric Theory/Definitions

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Identity Matrix[edit]

The identity matrix, with a size of n, is an n-by-n square matrix with ones on the main diagonal and zeros elsewhere. It is commonly denoted as , or simply by I if the size is immaterial or can be easily determined by the context.

The most important property of the identity matrix is that, when multiplied by another matrix, A, the result will be A

and .