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Bootstrap Statistical Tests of Rank Determination for System Identification

Author

Listed:
  • Gonzalo Camba-Mendez

    (European Central Bank)

  • George Kapetanios

    (Queen Mary, University of London)

Abstract

Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information criteria methods. This paper evaluates the performance of some asymptotic tests of rank determination together with their bootstrapped versions against standard information criteria methods. This study is conducted through simulation experiments. Results show that the bootstrapped procedures significantly improve upon the performance of the corresponding asymptotic tests, and are proved better than standard Information Criterion methods.

Suggested Citation

  • Gonzalo Camba-Mendez & George Kapetanios, 2002. "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers 468, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:468
    as

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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2002/items/wp468.pdf
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    References listed on IDEAS

    as
    1. Arup Bose, 1990. "Bootstrap in moving average models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(4), pages 753-768, December.
    2. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
    3. Jean-Marc Robin & Richard Smith, 2000. "Tests of rank," Post-Print hal-03587662, HAL.
    4. Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(2), pages 151-175, April.
    5. Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Testing the rank of the Hankel matrix: a statistical approach," Working Paper Series 45, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Rank; Bootstrap; Monte Carlo; System identification; Hankel operator;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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