TESTS OF RANK

Jean-Marc Robin and Richard J. Smith ()

Econometric Theory, 2000, vol. 16, issue 02, pages 151-175

Abstract: This paper considers tests for the rank of a matrix for which a root-T consistent estimator is available. However, in contrast to tests associated with the minimum chi-square and asymptotic least squares principles, the estimator s asymptotic variance matrix is not required to be either full or of known rank. Test statistics based on certain estimated characteristic roots are proposed whose limiting distributions are a weighted sum of independent chi-squared variables. These weights may be simply estimated, yielding convenient estimators for the limiting distributions of the proposed statistics. A sequential testing procedure is presented that yields a consistent estimator for the rank of a matrix. A simulation experiment is conducted comparing the characteristic root statistics advocated in this paper with statistics based on the Wald and asymptotic least squares principles.

Date: 2000
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600162012 link to article abstract page (text/html)

Related works:
Working Paper: Tests of Rank (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:02:p:151-175_16

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().