一个在计量经济学中有用应用的分块求逆公式

ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS

Econometric Theory · 2002
被引 1
人大 A-ABS 4

中文导读

推导了一个新的分块矩阵求逆公式,其中单位根计量经济学的特征矩阵作为逆矩阵的主对角块出现,为向量自回归计量经济学中一个关键结果的直接推导铺平了道路。

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.

分块逆公式正交补单位根矩阵向量自回归