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Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling

Author

Listed:
  • Gonzalo Camba-Mendez

    (European Central Bank)

  • George Kapetanios

    (Queen Mary, University of London)

Abstract

Testing the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics literature where these tests are required.

Suggested Citation

  • Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:541
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2005/items/wp541.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Multiple time series; Model specification; Tests of rank;
    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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