Improved inference on the rank of a matrix

• 成果类型: Article
• 署名作者: Chen, Qihui; Fang, Zheng
• 署名单位: The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Texas A&M University System; Texas A&M University College Station
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1139
• 发表日期: 2019
• 页码: 1787-1824
• 关键词: Matrix rank; bootstrap; two-step test; rank estimation; identification; matching dimension; C12; C15

摘要

This paper develops a general framework for conducting inference on the rank of an unknown matrix pi(0). A defining feature of our setup is the null hypothesis of the form H0:rank(pi 0)<= r. The problem is of first-order importance because the previous literature focuses on H0 ':rank(pi 0)=r by implicitly assuming away rank(pi 0)