Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié

Christian Gourieroux, Alain Monfort and Eric Renault

Annals of Economics and Statistics, 1993, issue 32, 81-111

Abstract: In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or generalized Wald), score. Each test procedure is put in a canonical analysis framework.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1993:i:32:p:81-111

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