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4 Hayashi Econometrics
Proof of (1.2.19) on p. 21
Two proofs are given here. The second proof, which is more straightforward with brute force,
was provided by K. Fukushima of University of Tokyo.
Proof 1.
Let y(i) be an n × 1 vector obtained by replacing the i-th element of y by zero. Define X(i)
similarly. Let v(i) be an n-dimensional vector whose i-th element is 1 and whose other elements
are all zero. Thus
0
y1 x1 0
.. .. ..
. . .
0
yi−1 x 0
i−1
(i) (i) 0 (i)
y ≡ 0 ,
X ≡ 0 ,
v ≡
1 .
(1)
(n×1) yi+1 (n×K) x0 (n×1) 0
i+1
. . .
.. .. ..
yn x0n 0
where
ui ≡ yi − xi 0 b(i) . (4)
1
Multiply both sides of (3) from left by M (≡ I − X(X0 X)−1 X0 ). The LHS of the equation
that results is Me − Me(i) . The RHS is ui Mv(i) since MX = 0. We know from Section 1.2 that
Me = e. Also,
Me(i) = e(i) − X(X0 X)−1 X0 e(i) = e(i) (by (b) above). (5)
The first term on the LHS is ei , the i-th element of e. The second term on the LHS is zero by
(a) above. Therefore,
0
ei = ui v(i) Mv(i) . (8)
0
The v(i) Mv(i) on the RHS of this equation can be written as follows:
0 0 0
v(i) Mv(i) = v(i) v(i) − v(i) X(X0 X)−1 Xv(i) (since M ≡ I − X(X0 X)−1 X0 ) (9)
0 0 −1 0 (i)
= 1 − xi (X X) xi , (since X v = xi ) (10)
Next, multiply both sides of (3) by (X0 X)−1 X0 . Since X0 e = 0 by construction and since
X e = 0 by (b) above, the LHS of the equation that results is 0. Since X0 v(i) = xi , the RHS
0 (i)
Proof 2.
The second proof utilizes the following result (famous in numerical analysis):
2
(This can be verified easily by noting that A−1 cd0 A−1 cd0 = d0 A−1 cA−1 cd0 .)
With this lemma, the desired result can be derived directly, as follows.
−1
X X
b(i) = xj x0j xj · yj (by definition of b(i) )
j6=i j6=i
−1
n
X n
X
= xj x0j − xi x0i xj · y j − xj · y j
j=1 j=1
−1
= (X0 X − xi x0i ) (X0 y − xi · yi )
1
=b − (X0 X)−1 xi · ei (since ei ≡ yi − x0i b).
1 − pi