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RANKTEST: Stata module to test the rank of a matrix using the Kleibergen-Paap rk statistic

  • Frank Kleibergen

    ()

    (Brown University)

  • Mark E Schaffer

    ()

    (Heriot-Watt University)

ranktest implements the Kleibergen-Paap (2006) rk test for the rank of a matrix. Tests of the rank of a matrix have many practical applications. For example, in econometrics the requirement for identification is the rank condition, which states that a particular matrix must be of full column rank. Another example from econometrics concerns cointegration in vector autoregressive (VAR) models; the Johansen trace test is a test of a rank of a particular matrix. The traditional test of the rank of a matrix for the standard (stationary) case is the Anderson (1951) canonical correlations test. If we denote one list of variables as Y and a second as Z, and we calculate the squared canonical correlations between Y and Z, the LM form of the Anderson test, where the null hypothesis is that the matrix of correlations or regression parameters B between Y and Z has rank(B)=r, is N times the sum of the r+1 largest squared canonical correlations. A large test statistic and rejection of the null indicates that the matrix has rank at least r+1. The Cragg-Donald (1993) statistic is a closely related Wald test for the rank of a matrix. Both the Anderson and Cragg-Donald tests require the assumption that the covariance matrix has a Kronecker form; when this is not so, e.g., when disturbances are heteroskedastic or autocorrelated, the test statistics are no longer valid. The Kleibergen-Paap (2006) rk statistic is a generalization of the Anderson canonical correlation rank test to the case of a non-Kronecker covariance matrix. The implementation in ranktest will calculate rk statistics that are robust to various forms of heteroskedasticity, autocorrelation, and clustering.

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File URL: http://fmwww.bc.edu/repec/bocode/r/ranktest.ado
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File URL: http://fmwww.bc.edu/repec/bocode/r/ranktest9.ado
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File URL: http://fmwww.bc.edu/repec/bocode/r/ranktest.hlp
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File URL: http://fmwww.bc.edu/repec/bocode/l/livreg2.mlib
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File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ranktest_1.3.03.do
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456865.

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Programming language: Stata
Requires: Stata version 11.2 (version 9.2 for ranktest9)
Date of creation: 30 Aug 2007
Date of revision: 24 Jan 2015
Handle: RePEc:boc:bocode:s456865
Note: This module should be installed from within Stata by typing "ssc install ranktest". Windows users should not attempt to download these files with a web browser.
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Web page: http://fmwww.bc.edu/EC/
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