On a Partitioned Inversion Formula having Useful Applications in Econometrics

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 springing up as the leading diagonal block of the inverse. On the one hand, the result paves the way to a stimulating reinterpretation of restricted least-squares estimation and, on the other, to a straightforward derivation of a key-result of time-series econometrics.

MoreLess

Year of publication:	2000-03
Authors:	Faliva, Mario ; Zoia, Maria Grazia
Institutions:	Institut d'Economie et Econométrie, Université de Genève
Subject:	Partitioned inversion \| Restricted least-squares \| VAR econometrics

More details

Extent:	application/pdf application/postscript
Series:	Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
Type of publication:	Book / Working Paper
Language:	English
Notes:	9 pages .
Classification:	C13 - Estimation ; C32 - Time-Series Models ; C69 - Mathematical Methods and Programming. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005811480