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Testing the rank of the Hankel matrix - a statistical approach

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Author Info
Gonzalo Camba-Méndez () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
George Kapetanios () (Queen Mary, University of London, Department of Economics, Mile End Road, London E1 4NS, United Kingdom.)
Abstract

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In this paper, we propose new statistical tests to determine the rank of the Hankel matrix. We also provide a Monte Carlo study on the reliability of these tests compared to existing procedures. JEL Classification: C12; C15; C32.

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Publisher Info
Paper provided by European Central Bank in its series Working Paper Series with number 45.

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Length: 27 pages
Date of creation: Mar 2001
Date of revision:
Handle: RePEc:ecb:ecbwps:20010045

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Related research
Keywords: Tests of rank; model reduction; Hankel operator; Monte Carlo.;

References listed on IDEAS
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  1. Kohn, R, 1979. "Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models," Econometrica, Econometric Society, vol. 47(4), pages 1005-30, July. [Downloadable!] (restricted)
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