Testing For Common Roots

DOI10.2307/1912578MaRDI QIDQ3823048zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, Eric Renault, Alain Monfort

Publication date 1989

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912578

zbMATH Keywords

autoregressive error specificationbilinear constraintscommon factorsdynamic linear equationgeneralized Bezout propertygeneralized Wald testlag operatorsmixed formpolynomialssequence of testssequential approachtesting common roots hypotheses

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(6)

• Encompassing univariate models in multivariate time series. A case study
• Hypothesis testing of common roots
• Common factor detection and estimation
• Factor representing portfolios in large asset markets
• Optimal asymptotic least squares estimation in a singular set-up
• Wald tests when restrictions are locally singular

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