A general theory of rank testing

Majid Al-Sadoon

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper demonstrates that all rank test statistics are functions of implicit null space estimators. The paper proposes a novel theory of null space estimation that allows for standard asymptotics, polynomial regressions, and cointegration asymptotics. The paper proves that the behaviour of rank test statistics is completely governed by the implicit null space estimators through a plug{in principle. This allows for a general theory of rank testing that simplifies the asymptotics of rank test statistics, clarifies the relationships between the various rank test statistics, makes full use of the numerical analysis literature, and motivates numerous new rank test statistics. A brief Monte Carlo study illustrates the results.

Keywords: Rank testing; cointegration; plug-in principle; subspace estimation. (search for similar items in EconPapers)
JEL-codes: C12 C13 C30 (search for similar items in EconPapers)
Date: 2014-02, Revised 2015-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sog
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Working Paper: A General Theory of Rank Testing (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1411

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