Re: DM: Re: Why is Singular Vector Decomposition for OLS?

[Ali Hadi]

Inverting X'x when X is highly collinear is not computationally 
stable. SVD
is useful in diagnosing collinearity in X, but it is not 
computationally
efficient. See Chapter 9 and 11 of HAdi, A.S. (1996) "Matrix Algebra 
as a
Tool," Duxbury Press.

Other decompositions such as Cholesky and triangular decompositions 
are
better than SVD. For more details see Chapter 9 of Chatterjee, S.  and
Hadi, A. S. (1988) "Sensitivity Analysis in Linear Regression," John 
Wiley
and Sons.


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  Ali S. Hadi, Professor and Chair   Phone: +1-607-255-2748
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