In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We propose a new rank test for an unobserved matrix for which a root-N-consistent estimator is available and construct a Wald- type test statistic (generalized Wald test). The test, based on matrix perturbation theory, enable to determine how many singular values of the estimated matrix are insignificantly different from zero and we fully characterise the asymptotic distribution of the generalized Wald statistic under the most general conditions. We show that it is chi- square distribution under the null. In particular case, when the asymptotic covariance matrix has a Kronecker product form, the test statistic is equivalent to likelihood ratio test statistic and to Multiplier Lagrange test statistic. Two approaches to be considered are sequential testing strategy and information theoretic criterion. We establish a strongly consistent of the determination of the rank of matrix using the two approaches.
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Paper provided by EconWPA in its series Econometrics with number
0307007.
Length: 36 pages Date of creation: 31 Jul 2003 Date of revision: Handle: RePEc:wpa:wuwpem:0307007
Note: Type of Document - Acrobat PDF ; prepared on PC, Scientific- Workplace; to print on HP/PostScript/; pages: 36 ; figures: included Contact details of provider: Web page: http://129.3.20.41
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