A unifying theory of tests of rank
The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is shown to determine the asymptotic behaviour of the...
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| Veröffentlicht in: | Journal of econometrics 2017-07, Vol.199 (1), p.49-62 |
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| container_end_page | 62 |
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| container_title | Journal of econometrics |
| container_volume | 199 |
| creator | Al-Sadoon, Majid M. |
| description | The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is shown to determine the asymptotic behaviour of the statistics through a plug-in principle. The theory simplifies the asymptotics under a variety of alternatives of empirical relevance as well as misspecification, clarifies the relationships between the various existing tests, makes use of important results in the numerical analysis literature, and motivates numerous new tests. A brief Monte Carlo study illustrates the results. |
| doi_str_mv | 10.1016/j.jeconom.2017.03.002 |
| format | Article |
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| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 2017-07, Vol.199 (1), p.49-62 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_journals_1927143290 |
| source | Elsevier ScienceDirect Journals |
| subjects | Asymptotic methods Cointegration Local power Misspecification Monte Carlo simulation Null space estimation Numerical analysis Plug-in principle Reduced-rank approximation Spatial analysis Studies Tests of rank |
| title | A unifying theory of tests of rank |
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