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On A Partitioned Inversion Formula Having Useful Applications In Econometrics

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  • Faliva, Mario
  • Zoia, Maria Grazia

Abstract

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 emerging as the leading diagonal block of the inverse. The result paves the way to a straightforward derivation of a key result of vector autoregressive econometrics.

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  • Faliva, Mario & Zoia, Maria Grazia, 2002. "On A Partitioned Inversion Formula Having Useful Applications In Econometrics," Econometric Theory, Cambridge University Press, vol. 18(2), pages 525-530, April.
    • Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:525-530_18
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    Cited by:

    1. Faliva, Mario & Zoia, Maria Grazia, 2006. "New insights into best linear unbiased estimation and the optimality of least-squares," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 575-585, March.
    2. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, vol. 128(1), pages 31-68, September.

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