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Citations for "Inferring the rank of a matrix"

by Cragg, John G. & Donald, Stephen G.

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  1. Lex Borghans & Angela Lee Duckworth & James J. Heckman & Bas ter Weel, 2008. "The Economics and Psychology of Personality Traits," Journal of Human Resources, University of Wisconsin Press, vol. 43(4).
  2. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
  3. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  4. Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
  5. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
  6. C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.
  7. Pitarakis Jean-Yves, 2006. "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-30, March.
  8. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
  9. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
  10. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
  11. Claus Brand & Daniel Buncic & Jarkko Turunen, 2010. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1266-1298, December.
  12. Pierre-Philippe Combes & Bruno Decreuse & Morgane Laouénan & Alain Trannoy, 2016. "Customer Discrimination and Employment Outcomes: Theory and Evidence from the French Labor Market," Journal of Labor Economics, University of Chicago Press, vol. 34(1), pages 107-160.
  13. d’Artis Kancs & Julda Kielyte, 2002. "Migration in the Enlarged European Union: Empirical Evidence for Labour Mobility in the Baltic States," EERI Research Paper Series EERI_RP_2002_04, Economics and Econometrics Research Institute (EERI), Brussels.
  14. Anyck Dauphin & Abdel‐Rahmen El Lahga & Bernard Fortin & Guy Lacroix, 2011. "Are Children Decision‐Makers within the Household?," Economic Journal, Royal Economic Society, vol. 121(553), pages 871-903, 06.
  15. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  16. Canova, Fabio & Sala, Luca, 2006. "Back to square one: identification issues in DSGE models," Working Paper Series 583, European Central Bank.
  17. Marko Melolinna, 2011. "Using Financial Markets Information to Identify Oil Supply Shocks in a Restricted VAR," Finnish Economic Papers, Finnish Economic Association, vol. 24(1), pages 33-54, Spring.
  18. Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2013. "On the Testability of Identification in Some Nonparametric Models With Endogeneity," Econometrica, Econometric Society, vol. 81(6), pages 2535-2559, November.
  19. A. Craig Burnside, 2007. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," NBER Working Papers 13357, National Bureau of Economic Research, Inc.
  20. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
  21. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
  22. Jorge Gonzalez Chapela, 2011. "Recreation, home production, and intertemporal substitution of female labor supply: evidence on the intensive margin," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(3), pages 532-548, July.
  23. Gilbert, Scott & Zemcík, Petr, 2006. "Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 925-945, April.
  24. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  25. Fortuna, Natercia, 2008. "Local rank tests in a multivariate nonparametric relationship," Journal of Econometrics, Elsevier, vol. 142(1), pages 162-182, January.
  26. Almlund, Mathilde & Duckworth, Angela Lee & Heckman, James & Kautz, Tim, 2011. "Personality Psychology and Economics," Handbook of the Economics of Education, Elsevier.
  27. Lütkepohl, Helmut & Milunovich, George, 2016. "Testing for identification in SVAR-GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 241-258.
  28. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July.
  29. Hiroyuki Kasahara & Katsumi Shimotsu, 2007. "Nonparametric Identification and Estimation of Multivariate Mixtures," Working Papers 1153, Queen's University, Department of Economics.
  30. LaFrance, Jeffrey T & Pope, Rulon D., 2006. "Full Rank Rational Demand Systems," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8qx7n6p9, Department of Agricultural & Resource Economics, UC Berkeley.
  31. repec:eee:econom:v:199:y:2017:i:1:p:49-62 is not listed on IDEAS
  32. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, 09.
  33. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  34. Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
  35. Lutkepohl, Helmut & Saikkonen, Pentti, 1999. "A lag augmentation test for the cointegrating rank of a VAR process," Economics Letters, Elsevier, vol. 63(1), pages 23-27, April.
  36. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2017. "Can the Fed Talk the Hind Legs Off the Stock Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 53-94, February.
  37. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
  38. Fukuda, Kosei, 2009. "Distribution switching in financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1711-1720.
  39. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
  40. Kemal Bagzibagli, 2014. "Monetary transmission mechanism and time variation in the Euro area," Empirical Economics, Springer, vol. 47(3), pages 781-823, November.
  41. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
  42. Helmut Lütkepohl & George Milunovich, 2015. "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin 1455, DIW Berlin, German Institute for Economic Research.
  43. Zaka Ratsimalahelo, 2003. "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series EERI_RP_2003_04, Economics and Econometrics Research Institute (EERI), Brussels.
  44. Craig Burnside, 2016. "Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 295-330.
  45. Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
  46. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research and International Relations Area.
  47. William C. Whitesell, 2005. "An inflation goal with multiple reference measures," Finance and Economics Discussion Series 2005-62, Board of Governors of the Federal Reserve System (U.S.).
  48. Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
  49. Gonzalo, Jesùs & Pitarakis, Jean-Yves, 2005. "Threshold effects In multivariate error correction models," Discussion Paper Series In Economics And Econometrics 0501, Economics Division, School of Social Sciences, University of Southampton.
  50. Dauphin, Anyck & El Lahga, Abdel-Rahmen & Fortin, Bernard & Lacroix, Guy, 2006. "Choix de consommation des ménages en présence de plusieurs décideurs," L'Actualité Economique, Société Canadienne de Science Economique, vol. 82(1), pages 87-118, mars-juin.
  51. Forchini, Giovanni, 2008. "A characterization of invariant tests for identification in linear structural equations," Economics Letters, Elsevier, vol. 98(2), pages 185-193, February.
  52. Arthur Lewbel, 2010. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80, December.
  53. Victor Aguirregabiria & Pedro Mira, 2013. "Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity," Working Papers tecipa-474, University of Toronto, Department of Economics.
  54. C. Lanier Benkard & Patrick Bajari, 2003. "Hedonic Price Indexes with Unobserved Product Characteristics, and Application to PC's," NBER Working Papers 9980, National Bureau of Economic Research, Inc.
  55. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.
  56. 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.
  57. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2015. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper 2015-9, Federal Reserve Bank of Atlanta.
  58. Zaka Ratsimalahelo, 2003. "Rank Test Based On Matrix Perturbation Theory," Econometrics 0306008, EconWPA.
  59. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
  60. Cherif, Olfa & Ayadi, Mohamed, 2010. "Latent separability and price variation in the estimation of demand System," MPRA Paper 36491, University Library of Munich, Germany.
  61. Caglayan, Mustafa & Jehan, Zainab & Mouratidis, Kostas, 2012. "Asymmetric monetary policy rules for open economies: Evidence from four countries," MPRA Paper 37401, University Library of Munich, Germany.
  62. Benkard, C. Lanier & Bajari, Patrick, 2003. "Hedonic Price Indexes with Unobserved Product Characteristics, and Application to PC's," Research Papers 1841, Stanford University, Graduate School of Business.
  63. Donald, Stephen G. & Fortuna, Natércia & Pipiras, Vladas, 2011. "Local and Global Rank Tests for Multivariate Varying-Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 295-306.
  64. Donald, Stephen G. & Fortuna, Nat rcia & Pipiras, Vladas, 2007. "On Rank Estimation In Symmetric Matrices: The Case Of Indefinite Matrix Estimators," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1217-1232, December.
  65. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA.
  66. Dhar, Tirtha Pratim & Chavas, Jean-Paul & Cotterill, Ronald W., 2003. "An Economic Analysis of Product Differentiation under Latent Separability," 2003 Annual meeting, July 27-30, Montreal, Canada 21892, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  67. León, Ángel & Sebestyén, Szabolcs, 2012. "New measures of monetary policy surprises and jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2323-2343.
  68. Esther Eiling, 2013. "Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 68(1), pages 43-84, 02.
  69. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
  70. Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  71. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  72. Bura, E. & Yang, J., 2011. "Dimension estimation in sufficient dimension reduction: A unifying approach," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 130-142, January.
  73. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers 1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
  74. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July.
  75. Melolinna, Marko, 2008. "Using financial markets information to identify oil supply shocks in a restricted VAR," Research Discussion Papers 9/2008, Bank of Finland.
  76. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University.
  77. Pitarakis, J., 2004. "Model selection uncertainty and detection of threshold effects," Discussion Paper Series In Economics And Econometrics 0409, Economics Division, School of Social Sciences, University of Southampton.
  78. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.