Rank Test Based On Matrix Perturbation Theory
AbstractIn this paper, we propose methods of the determination of the rank of matrix. We consider a rank test for an unobserved matrix for which an estimate exists having normal asymptotic distribution of order N1/2 where N is the sample size. The test statistic is based on the smallest estimated singular values. Using Matrix Perturbation Theory, the smallest singular values of random matrix converge asymptotically to zero in the order O(N-1) and the corresponding left and right singular vectors converge asymptotically in the order O(N-1/2). Moreover, the asymptotic distribution of the test statistic is seen to be chi-squared. The test has advantages over standard tests in being easier to compute. Two approaches are be considered sequential testing strategy and information theoretic criterion. We establish a strongly consistent of the determination of the rank of matrix using both the two approaches. Some economic applications are discussed and simulation evidence is given for this test. Its performance is compared to that of the LDU rank tests of Gill and Lewbel (1992) and Cragg and Donald (1996).
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0306008.
Length: 39 pages
Date of creation: 20 Jun 2003
Date of revision:
Note: Type of Document - Acrobat PDF; prepared on PC, Scientific- Workplace; to print on HP/PostScript/; pages: 39 ; figures: included
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Rank Testing; Matrix Perturbation Theory; Rank Estimation; Singular Value Decomposition; Sequential Testing Procedure; Information Theoretic Criterion.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
This paper has been announced in the following NEP Reports:
- NEP-ECM-2003-07-07 (Econometrics)
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