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

Gonzalo Camba-Mendez and George Kapetanios

No 541, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Multiple time series; Model specification; Tests of rank (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 (search for similar items in EconPapers)
Date: 2005-05-01
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:541

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