Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152783
Authors: 
Camba-Méndez, Gonzalo
Kapetanios, George
Year of Publication: 
2004
Series/Report no.: 
ECB Working Paper 349
Abstract: 
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive de?nite matrix estimate that has a normal asymptotic distribution with a covariance matrix whose rank is known.
Subjects: 
Spectral Density Matrix
Tests of Rank
JEL: 
C12
C32
C52
Document Type: 
Working Paper

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