Faliva, Mario et Zoia, Maria Grazia, On a Partitioned Inversion Formula Having Useful Applications in Econometrics, Econometric theory (Online) , 18(2), 2002, pp. 525-530
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.