Econometric Theory/Definitions

Identity Matrix
The identity matrix, with a size of n, is an n-by-n square matrix with ones on the main diagonal and zeros elsewhere. It is commonly denoted as $$I_n$$, or simply by I if the size is immaterial or can be easily determined by the context.
 * $$I_1=[1] \quad I_2=\begin{bmatrix}1 & 0 \\ 0 & 1\end{bmatrix} \quad I_3=\begin{bmatrix}1 & 0 & 0 \\ 0 & 1 & 0 \\ 0 & 0 & 1\end{bmatrix} \quad I_n=\begin{bmatrix}1 & 0 & \cdots & 0 \\ 0 & 1 & \cdots & 0 \\ \vdots & \vdots & \ddots & \vdots \\ 0 & 0 & \cdots & 1\end{bmatrix}$$

The most important property of the identity matrix is that, when multiplied by another matrix, A, the result will be A
 * $$AI_n=A\,$$ and $$I_n A=A\,$$.