If \(\mathbf{Z}\) is the \(n \times k\) matrix of standardized regressors and \(\mathbf{T}\) is the \(k \times k\) upper triangular matrix in Eq. (11.3), show that the transformed regressors \(\mathbf{W}=\mathbf{Z T}^{-1}\) are orthogonal and have unit variance.

Equation 11.3

Transcribed Image Text:

W = ZT-1