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

DOI10.1080/07474930802473785zbMath1172.62020MaRDI QIDQ3182773

George Kapetanios, Gonzalo Camba-Mendez

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

cointegration; demand systems; model specification; multiple time series; tests of rank

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H15: Hypothesis testing in multivariate analysis

Uses Software

• LINPACK

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