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Improved Inference on the Rank of a Matrix

Qihui Chen and Zheng Fang

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Abstract: This paper develops a general framework for conducting inference on the rank of an unknown matrix $\Pi_0$. A defining feature of our setup is the null hypothesis of the form $\mathrm H_0: \mathrm{rank}(\Pi_0)\le r$. The problem is of first order importance because the previous literature focuses on $\mathrm H_0': \mathrm{rank}(\Pi_0)= r$ by implicitly assuming away $\mathrm{rank}(\Pi_0)

New Economics Papers: this item is included in nep-ecm
Date: 2018-12, Revised 2019-03
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Handle: RePEc:arx:papers:1812.02337