Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling (original) (raw)

Non-technical summary 1 Introduction 2 Rank of a general matrix 2.1 A minimum discrepancy function test 2.2 Cragg and Donald (1996) 2.3 Robin and Smith (2000) 2.4 Bartlett (1947) 3 Rank of a hermitian positive semidefi nite matrix 4 Methods to identify the true rank 4.1 Sequential testing methods 4.2 Information criteria methods 5 Applications of tests of rank 5.1 Identifi cation and specifi cation of IV models 5.2 Demand systems 5.3 Reduced rank VAR models 5.4 State space models 5.5 Cointegration 5.6 Other potential applications 6 Conclusion References Appendix A.1 Local power results A.2 Distribution of Λ for a hermitian positive semidefi nite matrix.