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On a Partitioned Inversion Formula having Useful Applications in Econometrics

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Author Info
Mario Faliva
Maria Grazia Zoia
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 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.

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Publisher Info
Paper provided by Département d'Econométrie, Université de Genève in its series Cahiers du Département d'Econométrie with number 2000.01.

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Length: 9 pages.
Date of creation: Mar 2000
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Handle: RePEc:gen:geneem:2000.01

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Related research
Keywords: Partitioned inversion Restricted least-squares VAR econometrics

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C69 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Other

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