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Generalized Reduced Rank Tests using the Singular Value Decomposition Author info | Abstract | Publisher info | Download info | Related research | Statistics Frank Kleibergen () (Faculty of Economics and Econometrics, University of Amsterdam)
Richard Paap () (Faculty of Economics, Erasmus University Rotterdam)
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This discussion paper has resulted in a publication in the Journal of Econometrics , 2006, 133(1), 97-126.
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Date of creation: 09 Jan 2003Date of revision:
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Keywords: stochastic discount factor model ; cointegration ; GMM ; Other versions of this item:
Article Paper Kleibergen, F.R. & Paap, R., 2003.
"Generalized Reduced Rank Tests using the Singular Value Decomposition ,"
Econometric Institute Report
EI 2003-01 Revision_Date:, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] F. Kleibergen & R. Paap, 2003.
"Generalized reduced rank tests using the singular value decomposition ,"
Econometric Institute Report
301, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] Richard Paap & Frank Kleibergen, 2004.
"Generalized Reduced Rank Tests using the Singular Value Decomposition ,"
Econometric Society 2004 Australasian Meetings
195, Econometric Society.
[Downloadable!] Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
This paper has been announced in the following NEP Reports :
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