We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

We show that three convenient statistical properties that are known to hold forthe linear model with normal distributed errors that: (i.) when the variance is known, the likelihood based test statistics, Wald, Likelihood Ratio andScore or Lagrange Multiplier, coincide, (ii.) when the variance is...

We construct a novel statistic to test hypothezes on subsets of the structural parameters in anInstrumental Variables (IV) regression model. We derive the chi squared limiting distribution of thestatistic and show that it has a degrees of freedom parameter that is equal to the number...