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We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...
Persistent link: https://www.econbiz.de/10010731839
to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long …-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM …
Persistent link: https://www.econbiz.de/10010837996