We present a preliminary investigation into a specification test designed to assess the suitability of the matrix form of an error correction model for matrix-valued time series. We demonstrate that, under the admissibility of the matrix form, a rearrangement of the variables leads to a reduced-rank regression with coefficients of rank 1. We explore how to apply Johansen’s trace test to evaluate the restrictions imposed by the matrix model.

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A Specification Test for the Matrix Form of Error Correction Models

  • Emanuele Lopetuso,
  • Massimiliano Caporin

摘要

We present a preliminary investigation into a specification test designed to assess the suitability of the matrix form of an error correction model for matrix-valued time series. We demonstrate that, under the admissibility of the matrix form, a rearrangement of the variables leads to a reduced-rank regression with coefficients of rank 1. We explore how to apply Johansen’s trace test to evaluate the restrictions imposed by the matrix model.