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Tests Of Rank

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  • Robin, Jean-Marc
  • Smith, Richard J.

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.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 02 (April)
Pages: 151-175

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Handle: RePEc:cup:etheor:v:16:y:2000:i:02:p:151-175_16

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