A test for Kronecker product structure covariance matrix

DOI10.1016/J.JECONOM.2022.01.005MaRDI QIDQ2688652zbMATH OpenOpenAlexFDO

Authors Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis

Publication date 3 March 2023

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

covariance matrixheteroskedasticityinvarianceKronecker product structurelinear instrumental variables regression modelreduced rankweak identification

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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• scientific article; zbMATH DE number 741107 (Why is no real title available?)
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• On rank estimation in symmetric matrices: the case of indefinite matrix estimators
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Testing Parameters in GMM Without Assuming that They Are Identified
• Tests of risk premia in linear factor models
• The likelihood ratio test for a separable covariance matrix

Cited in

(6)

• Differential network knockoff filter with application to brain connectivity analysis
• On testing Kronecker product structure in tensor factor models
• Testing Kronecker product covariance matrices for high-dimensional matrix-variate data
• Low-rank modeling for functional linear regression with two-way functional predictor
• Identification robust inference for the risk premium in term structure models
• A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedasticity

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