Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Year of publication: |
2008
|
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Authors: | Camba-Méndez, Gonzalo ; Kapetanios, George |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Ökonometrisches Modell | Statistischer Test | Zeitreihenanalyse | Ranking-Verfahren | Schätztheorie | Theorie | model specification | Multiple time series | tests of rank |
Series: | ECB Working Paper ; 850 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 558750885 [GVK] hdl:10419/153284 [Handle] RePEc:ecb:ecbwps:20080850 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models |
Source: |
-
Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling
Camba-Mendez, Gonzalo, (2005)
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Camba-Méndez, Gonzalo, (2021)
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Bootstrap Statistical Tests of Rank Determination for System Identification
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Spectral based methods to identify common trends and common cycles
Camba-Méndez, Gonzalo, (2001)
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Estimating the rank of the spectral density matrix
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