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No. 541: Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling

Gonzalo Camba-Mendez , European Central Bank
George Kapetanios , Queen Mary, University of London

May 1, 2005

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Abstract

Testing 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 the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics literature where these tests are required.

J.E.L classification codes: C12, C15, C32

Keywords:Multiple time series, Model specification, Tests of rank

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