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ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS

Published online by Cambridge University Press:  16 May 2002

Mario Faliva  and
Maria Grazia Zoia
Mario Faliva
Affiliation:
Catholic University of Milan
Maria Grazia Zoia
Affiliation:
Catholic University of Milan
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Abstract

In this paper a novel partitioned inversion formula is obtained in terms of the orthogonal complements of off-diagonal blocks, with the emblematic matrix of unit-root econometrics emerging as the leading diagonal block of the inverse. The result paves the way to a straightforward derivation of a key result of vector autoregressive econometrics.

Type
MISCELLANEA
Information
Econometric Theory , Volume 18 , Issue 2 , April 2002 , pp. 525 - 530
Copyright
© 2002 Cambridge University Press

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