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Estimating the Rank of the Spectral Density Matrix

Gonzalo Camba-Mendez
European Central Bank (ECB); National Institute of Economic and Social Research (NIESR)

George Kapetanios
University of London - Queen Mary College - Department of Economics

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 37-48, January 2005

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 definite matrix estimate that has a normal asymptotic distribution with a covariance matrix the rank of which is known.

Keywords: Tests of rank, spectral density matrix

Accepted Paper Series

Date posted: January 06, 2005 ; Last revised: February 19, 2005

Suggested Citation

Camba-Mendez, Gonzalo and Kapetanios, George, Estimating the Rank of the Spectral Density Matrix. Journal of Time Series Analysis, Vol. 26, No. 1, pp. 37-48, January 2005. Available at SSRN: http://ssrn.com/abstract=643904

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Contact Information

Gonzalo Camba-Mendez (Contact Author) European Central Bank (ECB) ( email ) Kaiserstrasse 29 D-60311 Frankfurt am Main Germany 0049 69 13440 (Phone) 0044 69 1344 6000 (Fax)
National Institute of Economic and Social Research (NIESR) 2 Dean Trench Street Smith Square London SW1P 3HE United Kingdom
George Kapetanios University of London - Queen Mary College - Department of Economics ( email ) Mile End Road London E1 4NS United Kingdom +44 20 7882 5097 (Phone) HOME PAGE: http://www.qmul.ac.uk/%7Etew021/