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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.

Suggested Citation

  • Offick, Sven & Wohltmann, Hans-Werner, 2012. "A terminological note on cyclotomic polynomials and Blaschke matrices," Economics Working Papers 2012-13, Christian-Albrechts-University of Kiel, Department of Economics.
  • Handle: RePEc:zbw:cauewp:201213
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    File URL: https://www.econstor.eu/bitstream/10419/66204/1/729166015.pdf
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    References listed on IDEAS

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    1. 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, vol. 120(544), pages 393-413, May.
    2. Lippi, Marco & Reichlin, Lucrezia, 1994. "VAR analysis, nonfundamental representations, blaschke matrices," Journal of Econometrics, Elsevier, vol. 63(1), pages 307-325, July.
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    Keywords

    Nonfundamentalness; Cyclotomic polynomial; Blaschke matrix;

    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; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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