Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
From MaRDI portal
Publication:4031060
DOI10.2307/2290214zbMath0850.62436OpenAlexW4250590579MaRDI QIDQ4031060
Publication date: 1 April 1993
Full work available at URL: https://doi.org/10.2307/2290214
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Related Items (17)
Generalized reduced rank tests using the singular value decomposition ⋮ ON RANK ESTIMATION IN SYMMETRIC MATRICES: THE CASE OF INDEFINITE MATRIX ESTIMATORS ⋮ Local rank tests in a multivariate nonparametric relationship ⋮ Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling ⋮ Dimension estimation in sufficient dimension reduction: a unifying approach ⋮ Size Distortion in the Analysis of Volatility and Covolatility Effects ⋮ Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators ⋮ SPECIFICATION AND ESTIMATION OF SEMIPARAMETRIC MULTIPLE-INDEX MODELS ⋮ Forecasting international growth rates with leading indicators: A system- theoretic approach ⋮ Testing for weak identification in possibly nonlinear models ⋮ Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example ⋮ Encompassing and indirect inference ⋮ Identifiability of nonlinear logistic test models ⋮ Cotrending: testing for common deterministic trends in varying means model ⋮ A local parameterization of orthogonal and semi-orthogonal matrices with applications ⋮ Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model. ⋮ Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
This page was built for publication: Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
