Improved Inference on the Rank of a Matrix

2018/12/06 by Chen, Qihui, Fang, Zheng
#Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Methodology (stat.ME) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1812.02337

Abstract

This paper develops a general framework for conducting inference on the rank of an unknown matrix Π₀. A defining feature of our setup is the null hypothesis of the form \mathrm H₀: rank(Π₀)≤ r. The problem is of first order importance because the previous literature focuses on \mathrm H₀': rank(Π₀)= r by implicitly assuming away rank(Π₀)

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