经济学院2017年第七十六次学术讲座

主讲人：陈齐辉 助理教授 香港中文大学(深圳)

讲题：Improved Inference on the Rank of a Matrix with Applications to IV and Cointegration Models

主持人：魏杰 游艇会线路检测中心讲师

时间：2017年12月8日（周五）下午15：00 - 17：00

地点：经济学院407会议室

经济学院

2017年11月24日

论文摘要：This paper develops new methods for examining a "no greater than" inequality of the rank of a matrix and for rank determination in a general setup, which improve upon existing methods. Existing rank tests assume a priori that the rank is no less than the hypothesized value, which is often unrealistic. These tests when directly applied may fail to control the asymptotic null rejection rate, and the multiple testing method based on them can be conservative with the asymptotic null rejection rate strictly below the nominal level whenever the rank is less than the hypothesized value. We prove that our proposed tests have the asymptotic null rejection rate that is exactly equal to the nominal level under minimal assumptions regardless of whether the rank is less than or equal to the hypothesized value. As our simulation results show, these characteristics lead to an improved power property in general. In application to a context with stationary and nonstationary data, respectively, our tests yield improved tests for identification in linear IV models and for the existence of stochastic trend and/or cointegration with or without VAR specification.

主讲人简介：陈齐辉，美国加州大学圣地亚哥分校经济学博士，新加坡管理大学和厦门大学（联合）经济学硕士，现任香港中文大学(深圳)助理教授。已发表论文刊登于Econometric Theory和Computational Statistics。