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

Maria Zoia, Mario Faliva

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer 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.
Lingua originaleEnglish
pagine (da-a)1-10
Numero di pagine10
RivistaINTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS
Volume18
Stato di pubblicazionePubblicato - 2010

Keywords

  • Orthogonal complement
  • Partitioned inversion
  • Vector autoregressive model

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