A new partitioned inversion rule with an application to time series econometrics

Maria Zoia; Mario Faliva

A new partitioned inversion rule with an application to time series econometrics

Maria Zoia
, Mario Faliva

Research output: Contribution to journal › Article › peer-review

Abstract

Partitioned inversion formulas have always represented a basic tool in the standard algebraic equipment of statisticians and econometricians. This paper establishes a new partitioned inversion rule and proves its usefulness in finding solutions of vector autoregressive models (VAR) with unit roots.

Original language	English
Pages (from-to)	1-10
Number of pages	10
Journal	INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS
Volume	18
Publication status	Published - 2010

Keywords

Orthogonal complement
Partitioned inversion
Vector autoregressive model

Cite this

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title = "A new partitioned inversion rule with an application to time series econometrics",

abstract = "Partitioned inversion formulas have always represented a basic tool in the standard algebraic equipment of statisticians and econometricians. This paper establishes a new partitioned inversion rule and proves its usefulness in finding solutions of vector autoregressive models (VAR) with unit roots.",

keywords = "Orthogonal complement, Partitioned inversion, Vector autoregressive model, Orthogonal complement, Partitioned inversion, Vector autoregressive model",

author = "Maria Zoia and Mario Faliva",

year = "2010",

language = "English",

volume = "18",

pages = "1--10",

journal = "INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS \& STATISTICS",

issn = "0973-1377",

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T1 - A new partitioned inversion rule with an application to time series econometrics

AU - Zoia, Maria

AU - Faliva, Mario

PY - 2010

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AB - Partitioned inversion formulas have always represented a basic tool in the standard algebraic equipment of statisticians and econometricians. This paper establishes a new partitioned inversion rule and proves its usefulness in finding solutions of vector autoregressive models (VAR) with unit roots.

KW - Orthogonal complement

KW - Partitioned inversion

KW - Vector autoregressive model

KW - Orthogonal complement

KW - Partitioned inversion

KW - Vector autoregressive model

UR - http://hdl.handle.net/10807/20589

M3 - Article

SN - 0973-1377

VL - 18

SP - 1

EP - 10

JO - INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS

JF - INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS

ER -

A new partitioned inversion rule with an application to time series econometrics

Abstract

Keywords

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