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

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  • Gonzalo Camba-Mendez

    ()
    (European Central Bank)

  • George Kapetanios

    ()
    (Queen Mary, University of London)

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    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.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp541.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 541.

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    Date of creation: May 2005
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    Handle: RePEc:qmw:qmwecw:wp541

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    Keywords: Multiple time series; Model specification; Tests of rank;

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    1. George Kapetanios, 2002. "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers 471, Queen Mary, University of London, School of Economics and Finance.
    2. Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, vol. 63(1), pages 183-214, July.
    3. Richard Blundell & Alan Duncan & Krishna Pendakur, 1998. "Semiparametric estimation and consumer demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 435-461.
    4. Glynn, William J. & Muirhead, Robb J., 1978. "Inference in canonical correlation analysis," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 468-478, September.
    5. Richard Blundell & Alan Duncan, 1998. "Kernel Regression in Empirical Microeconomics," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 62-87.
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