A Theorem on the Rank of a Product of Matrices with Illustration of Its Use in Goodness of Fit Testing.

Abstract

This paper develops a theorem that facilitates computing the degrees of freedom of Wald-type chi-square tests for moment restrictions when there is rank deficiency of key matrices involved in the definition of the test. An if and only if (iff) condition is developed for a simple rule of difference of ranks to be used when computing the desired degrees of… (More)
DOI: 10.1007/s11336-014-9438-5

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