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A mean-variance frontier in discrete and continuous time

Bekker, Paul A. (contributor) - 2004

Persistent link: https://www.econbiz.de/10002597853

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 133 (2006) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10003354557

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

Persistent link: https://www.econbiz.de/10011332818

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

Persistent link: https://www.econbiz.de/10001726809

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank (contributor); Paap, Richard (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001783481