Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling

DOI10.1080/07474930802473785zbMath1172.62020OpenAlexW3121849872MaRDI QIDQ3182773

Gonzalo Camba-Mendez, George Kapetanios

Publication date: 16 October 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp850.pdf

zbMATH Keywords

cointegrationdemand systemsmodel specificationmultiple time seriestests of rank

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

Structural analysis with multivariate autoregressive index models ⋮ A scalable multi-step least squares method for network identification with unknown disturbance topology ⋮ A unifying theory of tests of rank ⋮ A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators ⋮ Identification and estimation of incomplete information games with multiple equilibria ⋮ Fast Estimation of Approximate Matrix Ranks Using Spectral Densities ⋮ Model selection criteria for reduced rank multivariate time series: a simulation study ⋮ A TT-Based Hierarchical Framework for Decomposing High-Order Tensors ⋮ Identification of dynamic games with unobserved heterogeneity and multiple equilibria

Uses Software

• LINPACK

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