Generalized reduced rank tests using the singular value decomposition

Journal of Econometrics

Volumn 133, Issue 1, 2006, Pages 97-126

  Kleibergen, Frank ^a,b   Paap, Richard ^c  

^a BROWN UNIVERSITY   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Cointegration; GMM; Stochastic discount factor model

Indexed keywords

FUNCTION EVALUATION; INTEGRATION; MATHEMATICAL MODELS; MATRIX ALGEBRA; NUMERICAL ANALYSIS; PERTURBATION TECHNIQUES; SENSITIVITY ANALYSIS; STOCHASTIC CONTROL SYSTEMS;

COINTEGRATION; GMM; RANK STATISTIC; STOCHASTIC DISCOUNT FACTOR MODEL;

STATISTICAL METHODS;

EID: 33745851106     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.02.011     Document Type: Article

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