London School of Economics Vassilis Hajivassiliou

Department of Economics Michaelmas Term 2021

MSc Econometrics (Ec402)

2021-2022
Problem Set #2
Linear Algebra and Statistics

Instructions: Prepare for week 3.

1. If A is an n × m matrix and A′ A = 0, prove that A = 0.
2. Use the definition of non-singularity, (namely that a square matrix A is non-singular
if and only if there exists no x except x = 0 such that Ax = 0), to show that:

(a) If A is positive definite, A is non-singular.

(b) If X is an n × k matrix, n > k, of full column rank k, then the k × k matrix X ′ X
is positive definite and non-singular.

3. (a) If A and B are square, non-singular matrices of the same order, show that
(AB)−1 = B −1 A−1 .
(b) If A is a square, non-singular matrix, show that (A′ )−1 = (A−1 )′ .
4. If x is an n vector distributed N (µ, Σ), what is the distribution of a′ x, where a is a
vector of constants?
5. (a) Show that for a positive definite symmetric matrix A, there exists a square non-
singular matrix P such that A = P P ′ .
(b) Use result (a) to show that if x is an n vector random variable, distributed N (0, Σ),
Σ of full rank, the distribution of the scalar random variable z ≡ x′ Σ−1 x is χ2
with n degrees of freedom.
∑n
6. For a square, n × n matrix A, we define its trace by tr(A) ≡ i=1 aii . Show that:

(a) tr(A′ ) = tr(A)

(b) tr(A + B) = tr(A) + tr(B)
(c) tr(AB) = tr(BA).

7. Suppose M is an n × n symmetric, idempotent matrix with rank J. Further suppose x

is an n×1 random vector of i.i.d. standard Gaussian random variates, i.e., x ∼ N (0, In ).
Show that the quadratic form z ≡ x′ M x is distributed χ2 with J degrees of freedom.
8. Let in be an n column vector of ones and In be the n × n identity matrix. What
is the effect of the transformation A = In − n1 in i′n ? Show that A is symmetric and
idempotent. What is Ain ? What does this imply?
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c Vassilis Hajivassiliou, LSE 2000-2021