Matrix polynomials and their inversion: the algebric framework of unit-root econometrics representation theorems

Authors

  • Mario Faliva Università Cattolica del Sacro Cuore, Milano
  • Maria Grazia Zoia Università Cattolica del Sacro Cuore, Milano

DOI:

https://doi.org/10.6092/issn.1973-2201/1264

Abstract

In this paper the issue of the inversion of a matrix polynomial about a unit root is tackled by resorting to Laurent expansion: The principal-part matrix coefficients associated with a simple and a second order pole are properly characterized and closed-form expressions are derived by virtue of a recent result on partitioned inversion (Faliva and Zoia, 2002). This eventually sheds more light on the analytical foundations of unit-root econometrics which in turn paves the way to an elegant unified representation theorem for (co)integrated processes up to the second order.

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How to Cite

Faliva, M., & Zoia, M. G. (2002). Matrix polynomials and their inversion: the algebric framework of unit-root econometrics representation theorems. Statistica, 62(2), 187–202. https://doi.org/10.6092/issn.1973-2201/1264

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Articles