The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...

New results in matrix algebra applied to the fundamental bordered matrix of linear estimation theory pave the way towards obtaining additional and informative closed-form expressions for the best linear unbiased estimator (BLUE). The results prove significant in several respects. Indeed, more...

This paper re-examines the issue of how to tailor distributions to embody evidence of moments and dependence structure deviating from those of a given parent distribution. It is well known that the function that achieves the transformation from a given parent to a target distribution can be...