UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Tests of rank

Robin, JM; Smith, RJ; (2000) Tests of rank. Econometric Theory , 16 (2) pp. 151-175. 10.1017/s0266466600162012. Green open access

[thumbnail of 17126.pdf]
Preview
PDF
17126.pdf

Download (1MB)

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. © 2000 Cambridge University Press.

Type: Article
Title: Tests of rank
Open access status: An open access version is available from UCL Discovery
DOI: 10.1017/s0266466600162012
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/17126
Downloads since deposit
534Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item