No. 541: Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling
May 1, 2005
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