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

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

Author Info

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.

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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics 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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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-05-23 (All new papers)
NEP-ECM-2005-05-23 (Econometrics)
NEP-ETS-2005-05-23 (Econometric Time Series)

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This page was last updated on 2009-12-24.

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