文章基本信息

标题：Matrix polynomials and their inversion: the algebric framework of unit-root econometrics representation theorems
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作者：Mario Faliva ; Maria Grazia Zoia
期刊名称：Statistica
印刷版ISSN：1973-2201
出版年度：2002
卷号：62
期号：2
页码：187-202
DOI：10.6092/issn.1973-2201/1264
语种：Italian
出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：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.