A terminological note on cyclotomic polynomials and Blaschke matrices
AbstractIn a recent paper, Mertens and Ravn (2010) study the effects of anticipated fiscal policy shocks in a structural vector autoregressive model. The authors maintain that (i) the lag polynomial associated with news shocks is a cyclotomic polynomial and (ii) the matrix B(L) which transforms a nonfundamental MA representation into a fundamental one is a Blaschke matrix. Though the results in Mertens and Ravn (2010) are correct, we find that the terms 'cyclotomic' and 'Blaschke matrix' are misused. --
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Bibliographic InfoPaper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2012-13.
Date of creation: 2012
Date of revision:
Nonfundamentalness; Cyclotomic polynomial; Blaschke matrix;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Mertens, Karel & Ravn, Morten O., 2009.
"Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach,"
CEPR Discussion Papers, C.E.P.R. Discussion Papers
7423, C.E.P.R. Discussion Papers.
- Karel Mertens & MortenO. Ravn, 2010. "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 120(544), pages 393-413, 05.
- Marco Lippi & Lucrezia Reichlin, 1994.
"VAR analysis, non-fundamental representations, Blashke matrices,"
ULB Institutional Repository
2013/10151, ULB -- Universite Libre de Bruxelles.
- Lippi, Marco & Reichlin, Lucrezia, 1994. "VAR analysis, nonfundamental representations, blaschke matrices," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 307-325, July.
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