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Test of rank

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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo (contributor); … - 2008

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...