Inferring the rank of a matrix

This paper considers methods of inference concerning the rank of matrix a π - ξ based on an asymptotically normal estimate of π and some identifiable specification for ξ. One such specification is ξ = 0, in which case one is interested in the rank of π. We first propose, and examine the properties o...

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Veröffentlicht in:	Journal of econometrics 1997, Vol.76 (1), p.223-250
Hauptverfasser:	Cragg, John G., Donald, Stephen G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Chi-squared distribution Econometrics Economic models Estimating techniques Hypotheses Hypothesis testing Matrix Minimum chi-squared test Minimum distance Model selection Monte Carlo simulation Rank estimation Rank of matrix tests Studies
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