Generalized reduced rank tests using the singular value decomposition

DOI10.1016/j.jeconom.2005.02.011zbMath1345.62084OpenAlexW3022774728MaRDI QIDQ274909

Frank Kleibergen, Richard Paap

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://repec.org/esAUSM04/up.27553.1077797941.pdf

zbMATH Keywords

cointegrationGMMstochastic discount factor model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Factorization of matrices (15A23) Asymptotic properties of parametric tests (62F05) Vector spaces, linear dependence, rank, lineability (15A03)

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