Estimating the Rank of the Spectral Density Matrix
30 Pages Posted: 10 Sep 2004
Date Written: April 2004
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 whose rank is known.
Keywords: tests of rank, spectral density matrix
JEL Classification: C12, C32, C52
Suggested Citation: Suggested Citation