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A terminological note on cyclotomic polynomials and Blaschke matrices

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  • Offick, Sven
  • Wohltmann, Hans-Werner

Abstract

In 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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Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2012-13.

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Date of creation: 2012
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Handle: RePEc:zbw:cauewp:201213

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Keywords: Nonfundamentalness; Cyclotomic polynomial; Blaschke matrix;

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  1. 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.
  2. Marco Lippi & Lucrezia Reichlin, 1994. "VAR analysis, non-fundamental representations, Blashke matrices," ULB Institutional Repository 2013/10151, ULB -- Universite Libre de Bruxelles.
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