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Tests of Rank in Reduced Rank Regression Models

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Abstract

Recently, there has been renewed research interest in the development of tests of the rank of a matrix based on a root- Tconsistent estimator. This paper evaluates the performance of some asymptotic tests of rank determination in reduced rank regression models through simulation experiments together with their bootstrapped versions. The bootstrapped procedures significantly improve upon the performance of the corresponding asymptotic tests. The tests of rank considered are applied to construct reduced rank VAR models of leading indicators of UK economic activity and these more parsimonious multivariate representations improve the forecasting performance of VAR models.

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  • Dr Martin Weale, 1999. "Tests of Rank in Reduced Rank Regression Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 150, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:192
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    1. Majumder, Amita & Chakravarty, Satya Ranjan, 1990. "Distribution of Personal Income: Development of a New Model and Its Application to U.S. Income Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 189-196, April-Jun.
    2. Peter Gottschalk & Robert Moffitt, 1994. "The Growth of Earnings Instability in the U.S. Labor Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 25(2), pages 217-272.
    3. McDonald, James B & Mantrala, Anand, 1995. "The Distribution of Personal Income: Revisited," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 201-204, April-Jun.
    4. Abowd, John M & Card, David, 1989. "On the Covariance Structure of Earnings and Hours Changes," Econometrica, Econometric Society, vol. 57(2), pages 411-445, March.
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