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Title:Bootstrap statistical tests of rank determination for system identification PDF Logo
Authors:Camba-Mendez, Gonzalo
Kapetanios, George
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 468
Abstract:Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information criteria methods. This paper evaluates the performance of some asymptotic tests of rank determination together with their bootstrapped versions against standard information criteria methods. This study is conducted through simulation experiments. Results show that the bootstrapped procedures significantly improve upon the performance of the corresponding asymptotic tests, and are proved better than standard Information Criterion methods.
Subjects:Rank, Bootstrap, Monte Carlo, System identification, Hankel operator
JEL:C12
C15
C32
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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