« Return to Thread: Rank

Re: [R-sig-finance] Rank

by matifou :: Rate this Message:

2009/7/3 RON70 <ron_michael70@...>

>
> This is a finance related question in the sense that I have come accross
> this
> kind of problem in Co-Integration matrix construction in a VECM. I am
> explaing how :
>
> Suppose I have 2 endogeneous variables and 3 exogeneous variable all are
> I(1) and assumed to have cointegration relationships among them. Let say
> the
> DGP is
>

what do you mean by exogenous?

>
> y[t] = alpha * t(beta) * (y[t-1] : x[t-1]) + ..................

left should be differenced

>
>
> pi = alpha * t(beta)
>
> Obviously dimension of y vector is 2 and x vector is 3. Therefore there
> could be more than 2 cointegrating relationships in that.

if you have more than two cointegrating relationships: I would say x is not
exogeneous

Hence rank of pi
> is in principle more than 2. As number of co-integrating relationships is
> estimated on looking at rank of pi matrix. However number of rows there is
> :
> 2.
>
I am trying to understand this scenario here. In this case, can usual

> VECM estimation procedure work? More important to me is to understand rank
> of pi is more than it's row number.
>
> Thanks
>
>
>
>
>
> Enrico Schumann wrote:
> >
> > that's not a finance question, but the rank can at most be the min of n
> > and
> > m.
> >
> > -----Ursprüngliche Nachricht-----
> > Von: r-sig-finance-bounces@...
> > [mailto:r-sig-finance-bounces@...] Im Auftrag von RON70
> > Gesendet: Freitag, 3. Juli 2009 03:22
> > An: r-sig-finance@...
> > Betreff: [R-SIG-Finance] [R-sig-finance] Rank
> >
> >
> > Hi, i have a small matrix related question which most of you find trivial
> > however I am not getting through. Suppose I have a matrix of dimension
> > (nxm), n < m. Is it in principle possible to have the rank of that matrix
> > greater than n? Is it possible to have some example?
> >
> > Thanks,
> > --
> > View this message in context:
> > http://www.nabble.com/Rank-tp24316324p24316324.html
> > Sent from the Rmetrics mailing list archive at Nabble.com.
> >
> > _______________________________________________
> > R-SIG-Finance@... mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
> > Checked by AVG - www.avg.com
> >
> >
> > 18:06:00
> >
> > _______________________________________________
> > R-SIG-Finance@... mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
> >
> >
>
> --
> View this message in context:
> http://www.nabble.com/Rank-tp24316324p24319081.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

[[alternative HTML version deleted]]

_______________________________________________
R-SIG-Finance@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only.
-- If you want to post, subscribe first.

« Return to Thread: Rank