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The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive de?nite matrix estimate...
Persistent link: https://www.econbiz.de/10011604395
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive definite matrix estimate...
Persistent link: https://www.econbiz.de/10009639403
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive definite matrix estimate...
Persistent link: https://www.econbiz.de/10013319344
The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...
Persistent link: https://www.econbiz.de/10011604091
The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper...
Persistent link: https://www.econbiz.de/10011604108
Testing and estimating 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 and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10011604896
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...
Persistent link: https://www.econbiz.de/10010276160
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...
Persistent link: https://www.econbiz.de/10010276247
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10010280777
Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...
Persistent link: https://www.econbiz.de/10010284096