The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...

The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots, and sheds light on the cointegration features of the engendered processes. The theorem is...

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...

New results in matrix algebra applied to the fundamental bordered matrix of linear estimation theory pave the way towards obtaining additional and informative closed-form expressions for the best linear unbiased estimator (BLUE). The results prove significant in several respects. Indeed, more...

The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...

This paper tackles the issue of economic time-series modeling from a joint time and frequency-domain standpoint, with the objective of estimating the latent trend-cycle component. Since time-series records are data strings over a finite time span, they read as samples of contiguous data drawn...