03-003/4 - Generalized Reduced Rank Tests using the Singular Value Decomposition

  • Authors
    Frank Kleibergen, Faculty of Economics and Econometrics, University of Amsterdam; Richard Paap, Faculty of Economics, Erasmus University Rotterdam
  • Publication date
    January 9, 2003
  • Keywords
    stochastic discount factor model; cointegration; GMM
  • JEL
    C12; C13; C30
Download here