Abstract
In this paper closed-form expressions for the coefficient matrices of the regular part of the Laurent expansion for a matrix-polynomial inverse about a pole are obtained. This sets the stage for deriving the dynamic multipliers of a vector autoregressive model (VAR) in a straightforward way.
| Original language | English |
|---|---|
| Pages (from-to) | 475-498 |
| Number of pages | 24 |
| Journal | Journal of Interdisciplinary Mathematics |
| Volume | 12 |
| Publication status | Published - 2009 |
Keywords
- Core-nilpotent representation
- Laurent expansion
- VAR-model solution
- canonical-form representation
- dynamic multipliers
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