An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models

Celina Pestano-Gabino, Concepción González-Concepción and María Candelaria Gil-Fariña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper presents an algebraic analysis using Matrix Padé Aproximation to improve the identification stage of the proposal in [6] on Scalar Component Models, specifically as it refers to the choice of a parameter they denote h. The original methodology in [6] is based on the construction and interpretation of a table whose elements are related to the singular value zero of certain relevant matrices in the process. We propose the alternative use of what we call a Ranks Table and the sure overall orders concept instead of the so-called overall orders. Ranks Table information allows for the improved interpretation and implication of the results and of potential computational and statistical properties.

Keywords: VARMA; models; Scalar; Component; Models; (SCM); Identification; Stage; Sure; overall; orders; Corank; and; Rank; Tables; Matrix; Padé; Approximation (search for similar items in EconPapers)
Date: 2010-02
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