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.
Zoia, M., Faliva, M., A new partitioned inversion rule with an application to time series econometrics, <<INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS>>, 2010; 18 (Settembre): 1-10 [http://hdl.handle.net/10807/20589]
A new partitioned inversion rule with an application to time series econometrics
Zoia, Maria;Faliva, Mario
2010
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.
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