Dynamic Model Analysis

Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

  • Mario Faliva
  • Maria Grazia Zoia

Table of contents

About this book


This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the structural with the time series approaches, and by focusing on representation theorems of integrated processes. The book provides mainly a self-contained, rigorous as well as innovative, analytic setting to guide formulation and solution in closed form of vector autoregressive (VAR) models with unit roots. The second edition implements the latest research work by the second author on linear matrix polynomials whence a further breakthought on the topic is gained. Its emphasis is placed on representation theorems, conjugating an elegant reappraisal of classical results with original insights which widen their information content. A unified representation theorem of new conception is established, which duly shapes the contours of the cointegration features of VAR solutions, providing not only a contribution to clarity but also new stimuli in this fascinating field of research as a spin-off.


Analysis Dynamic Econometric Models Integrated and Cointegrated Processes Matrix Methods for Econometrics Representation Theorems STATISTICA Time series Unit Roots econometrics modeling

Editors and affiliations

  • Mario Faliva
    • 1
  • Maria Grazia Zoia
    • 1
  1. 1.Faculty of Economics Department of Mathematics and EconometricsCatholic University of MilanLargo Gemelli, 1Italy

Bibliographic information

  • DOI
  • Copyright Information Springer Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-540-85995-6
  • Online ISBN 978-3-540-85996-3
  • Buy this book on publisher's site