Inferring the rank of a matrix

被引：122

作者：

Cragg, JG

Donald, SG

机构：

[1] BOSTON UNIV,DEPT ECON,BOSTON,MA 02215

[2] UNIV BRITISH COLUMBIA,DEPT ECON,VANCOUVER,BC V6T 1W5,CANADA

[3] UNIV NEW S WALES,DEPT ECONOMETR,SYDNEY,NSW 2052,AUSTRALIA

来源：

JOURNAL OF ECONOMETRICS | 1997年 / 76卷 / 1-2期

关键词：

rank of matrix tests; minimum chi-squared test; minimum distance; model selection; rank estimation;

D O I：

10.1016/0304-4076(95)01790-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers methods of inference concerning the rank of a matrix Pi - Theta based on an asymptotically normal estimate of Pi and some identifiable specification for Theta. One such specification is Theta = 0, in which case one is interested in the rank of Pi. We first propose, and examine the properties of, a test of the hypothesis that the rank is of a given size against the alternative that the rank is larger. We then look at the problem of estimating the rank of this matrix using model selection procedures and sequential hypothesis testing. Conditions for consistency of such procedures are obtained. Some economic applications are discussed and the various methods are compared in a Monte Carlo experiment.

引用

页码：223 / 250

页数：28

共 26 条

[21] PARTIALLY IDENTIFIED ECONOMETRIC-MODELS [J].