Arbeitspapier
Generalized Reduced Rank Tests using the Singular Value Decomposition
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to the ordering of the variables for the LDU rank statistic of Cragg and Donald [Journal of the American Statistical Association (1996), 91, 1301–1309] and Gill and Lewbel [Journal of the American Statistical Association (1992), 87, 766–776] a limiting distribution that is not a standard chi-squared distribution for the rank statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function statistic of Cragg and Donald [Journal of Econometrics (1997), 76, 223–250] and ignoring the non-negativity restriction on the singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the new rank statistic is identical to that of the Johansen trace statistic.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 03-003/4
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
stochastic discount factor model
cointegration
GMM
Stochastischer Prozess
Kointegration
Dekompositionsverfahren
Theorie
Ranking-Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kleibergen, Frank
Paap, Richard
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Kleibergen, Frank
- Paap, Richard
- Tinbergen Institute
Entstanden
- 2003
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