Inferring the rank of a matrix

DOI10.1016/0304-4076(95)01790-9zbMATH Open0877.62059OpenAlexW2013959399MaRDI QIDQ1362038FDOQ1362038

Authors: John G. Cragg, Stephen G. Donald 

Publication date: 14 December 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01790-9

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zbMATH Keywords

model selectionminimum distancerank estimationminimum chi-squared testrank of matrix tests

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Sequential statistical analysis (62L10)

Cites Work

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• Asymptotic properties of least-squares estimates in stochastic regression models
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Estimating the dimension of a linear system
• Optimal bounds for the distributions of some test criteria for tests of dimensionality

Cited In (46)

• The impact of forward guidance and large-scale asset purchase programs on commodity markets
• The term structure of monetary policy uncertainty
• Integer matrix rank certification
• Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
• Bootstrap testing of the rank of a matrix via least-squared constrained estimation
• Testing for weak identification in possibly nonlinear models
• CLOSED-FORM IDENTIFICATION OF DYNAMIC DISCRETE CHOICE MODELS WITH PROXIES FOR UNOBSERVED STATE VARIABLES
• Bayesian Analysis of DSGE Models by S. An and F. Schorfheide
• Size distortion in the analysis of volatility and covolatility effects
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• A method to evaluate the rank condition for CCE estimators
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
• Evaluation of asset pricing models using two-pass cross-sectional regressions
• A unifying theory of tests of rank
• Local rank tests in a multivariate nonparametric relationship
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• A lag augmentation test for the cointegrating rank of a VAR process
• Inference in coarsened time series via generalized method of moments
• Biwhitening Reveals the Rank of a Count Matrix
• Specification and estimation of semiparametric multiple-index models
• Bootstrapping the GMM overidentification test under first-order underidentification
• Estimating the Rank of the Spectral Density Matrix
• Detecting lack of identification in GMM
• Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
• Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example
• Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
• Estimation and model selection based inference in single and multiple threshold models.
• Rank Tests at Jump Events
• A characterization of invariant tests for identification in linear structural equations
• Distribution switching in financial time series
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Dimension estimation in sufficient dimension reduction: a unifying approach
• A misspecification test for the higher order co-moments of the factor model
• Treatment effects in interactive fixed effects models with a small number of time periods
• Inference on the rank of the growth curve model using model selection method
• Eigendecomposition of the mean-variance portfolio optimization model
• Optimal asymptotic least squares estimation in a singular set-up
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• Determining the number of factors when the number of factors can increase with sample size
• On rank estimation in symmetric matrices: the case of indefinite matrix estimators
• Improved inference on the rank of a matrix
• Generalized reduced rank tests using the singular value decomposition
• Panel data models with multiple time-varying individual effects
• GEL statistics under weak identification
• Underidentification?

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