Arbeitspapier
Statistical tests of the rank of a matrix and their applications in econometric modelling
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 541
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Multiple time series, Model specification, Tests of rank
Zeitreihenanalyse
Matrizenrechnung
Ranking-Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Camba-Mendez, Gonzalo
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Camba-Mendez, Gonzalo
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2005
Ähnliche Objekte (12)
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Bootstrap statistical tests of rank determination for system identification
A new nonparametric test of cointegration rank
Testing the rank of the Hankel matrix: a statistical approach
Estimating the rank of the spectral density matrix
Cluster analysis of panel datasets using non-standard optimisation of information criteria
On testing for diagonality of large dimensional covariance matrices
Determining the poolability of individual series in panel datasets
Variable selection using non-standard optimisation of information criteria
Choosing the optimal set of instruments from large instrument sets
Determining the stationarity properties of individual series in panel datasets
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Bootstrap statistical tests of rank determination for system identification
A new nonparametric test of cointegration rank
Testing the rank of the Hankel matrix: a statistical approach
Estimating the rank of the spectral density matrix
Cluster analysis of panel datasets using non-standard optimisation of information criteria
On testing for diagonality of large dimensional covariance matrices
Determining the poolability of individual series in panel datasets
Variable selection using non-standard optimisation of information criteria
Choosing the optimal set of instruments from large instrument sets
Determining the stationarity properties of individual series in panel datasets
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Bootstrap statistical tests of rank determination for system identification
A new nonparametric test of cointegration rank
Testing the rank of the Hankel matrix: a statistical approach
Estimating the rank of the spectral density matrix
Cluster analysis of panel datasets using non-standard optimisation of information criteria
On testing for diagonality of large dimensional covariance matrices
Determining the poolability of individual series in panel datasets
Variable selection using non-standard optimisation of information criteria
Choosing the optimal set of instruments from large instrument sets
Determining the stationarity properties of individual series in panel datasets