A test for Kronecker product structure covariance matrix

DOI10.1016/j.jeconom.2022.01.005MaRDI QIDQ2688652

Frank Kleibergen, Patrik Guggenberger, Sophocles Mavroeidis

Publication date: 3 March 2023

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

Full work available at URL: https://arxiv.org/abs/2010.10961

zbMATH Keywords

invariance; covariance matrix; Kronecker product structure; heteroskedasticity; weak identification; reduced rank; linear instrumental variables regression model

Mathematics Subject Classification ID

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences

Cites Work

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