Inference on covariance-mean regression

DOI10.1016/J.JECONOM.2021.05.004MaRDI QIDQ2172004zbMATH OpenOpenAlexFDO

Authors Tao Zou, Wei Lan, Runze Li, Chih-Ling Tsai

Publication date 14 September 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.05.004

zbMATH Keywords

hypothesis testingmultivariate regressionadjusted profile score functioncovariance-mean regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Asymptotic Statistics
• Asymptotically efficient estimation of covariance matrices with linear structure
• Consistent Estimates Based on Partially Consistent Observations
• Covariance regularization by thresholding
• Estimation and Inference for Linear Models in Which Subsets of the Dependent Variable are Constrained
• High-dimensional covariance estimation
• High-dimensional covariance matrix estimation in approximate factor models
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• Regularized estimation of large covariance matrices
• Tests for covariance structures with high-dimensional repeated measurements

Cited in

(2)

• A Time-Varying Network for Cryptocurrencies
• Modelling correlation matrices in multivariate data, with application to reciprocity and complementarity of child-parent exchanges of support

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