A Specification Test for the Matrix Form of Error Correction Models
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.