TY - JOUR

T1 - New insights into vector-autoregressive econometric models for core-nilpotent decomposition of the total effect matrix

AU - Zoia, Maria

PY - 2009

Y1 - 2009

N2 - This paper pinpoints the role played by the core-nilpotent decomposition of the total effect matrix in detecting the integration order of a vector autoregressive (VAR) econometric model and in establishing closed-form expressions for the coefficients of its solution. More specifically, after showing how the nilpotent-term index actually determines the pole order of the matrix-polynomial inverse operator underlying the VAR solution, this paper establishes a unified representation theorem for the generated process on a strictly algebraic basis.

AB - This paper pinpoints the role played by the core-nilpotent decomposition of the total effect matrix in detecting the integration order of a vector autoregressive (VAR) econometric model and in establishing closed-form expressions for the coefficients of its solution. More specifically, after showing how the nilpotent-term index actually determines the pole order of the matrix-polynomial inverse operator underlying the VAR solution, this paper establishes a unified representation theorem for the generated process on a strictly algebraic basis.

KW - core-nilpotent decomposition

KW - pole and integration orders

KW - unified representation theorem

KW - core-nilpotent decomposition

KW - pole and integration orders

KW - unified representation theorem

UR - http://hdl.handle.net/10807/20535

M3 - Article

VL - 27

SP - 147

EP - 155

JO - FAR EAST JOURNAL OF THEORETICAL STATISTICS

JF - FAR EAST JOURNAL OF THEORETICAL STATISTICS

SN - 0972-0863

ER -