The asymptotic distribution of the test statistic for testing the dimensionality in the sir-II method is derived and shown to be a linear combination of chi-squared random variables under weak assumptions. This statistic is based on Li's (1991) sequential test statistic for sliced inverse regression (sir). Also presented is a simulation study of the result.

TR Number: 
2004-15
Xiangrong Yin and Lynne Seymour

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