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MCS,PHD
Argosy University/ Phoniex University/
Nov-2005 - Oct-2011
Professor
Phoniex University
Oct-2001 - Nov-2016
1. Invariance of the Fitted Values and Residuals to Nonsingular Transformations of the Independent Variables. Post-multiply the independent variables in (7.1) by a nonsingular transformation C, so that X ∗ = XC.
(a) Show that PX∗ = PX and P¯X∗ = P¯X . Conclude that the regression of y on X has the same fitted values and the same residuals as the regression of y on X ∗.
(b) As an application of these results, suppose that every X was multiplied by a constant, say, a change in the units of measurement. Would the fitted values or residuals change when we rerun this regression?
(c) Suppose that X contains two regressors X1 and X2 each of dimension n × 1. If we run the regression of y on (X1 − X2) and (X1 + X2), will this yield the same fitted values and the same residuals as the original regression of y on X1 and X2?
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