Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié

In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or generalized Wald), score. Each test procedure is put in a canonical analysis framework.

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Year of publication:	1993
Authors:	GOURIEROUX, Christian ; MONFORT, Alain ; RENAULT, Eric
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1993, 32, p. 81-111
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005078806