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A New Partitioned Inversion Rule with an Application to Time Series Econometrics

Mario Faliva, Maria Grazia Zoia

Abstract


In this paper a new partitioned inversion formula is devised in terms of generalized inverses of both the leading diagonal and the off-diagonal blocks of the matrix to be inverted. The result finds not only applications to orthogonal–complement algebra but eventually proves useful for the solution of a key model of time-series econometrics.

Keywords


Partitioned inversion, Orthogonal complement, Vector autoregressive model.

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