Bootstrap Statistical Tests of Rank Determination for System Identification
Year of publication: |
2002-11
|
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Authors: | Camba-Mendez, Gonzalo ; Kapetanios, George |
Institutions: | School of Economics and Finance, Queen Mary |
Subject: | Rank | Bootstrap | Monte Carlo | System identification | Hankel operator |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 468 |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models |
Source: |
-
Testing the rank of the Hankel matrix: a statistical approach
Camba-Méndez, Gonzalo, (2001)
-
Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie, (2003)
-
Short and long run causality measures: theory and inference
Dufour, Jean-Marie, (2008)
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Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling
Camba-Mendez, Gonzalo, (2005)
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Statistical tests of the rank of a matrix and their applications in econometric modelling
Camba-Mendez, Gonzalo, (2005)
-
Bootstrap statistical tests of rank determination for system identification
Camba-Mendez, Gonzalo, (2002)
- More ...