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

Testing the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics literature where these tests are required.

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Year of publication:	2005-05
Authors:	Camba-Mendez, Gonzalo ; Kapetanios, George
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Multiple time series \| Model specification \| Tests of rank

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 541
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106289