Improved inference on the rank of a matrix

Qihui Chen and Zheng Fang

Quantitative Economics, 2019, vol. 10, issue 4, 1787-1824

Abstract: This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form H0:rank(Π0)≤r. The problem is of first‐order importance because the previous literature focuses on H0′:rank(Π0)=r by implicitly assuming away rank(Π0)

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:10:y:2019:i:4:p:1787-1824

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