A test for Kronecker Product Structure covariance matrix
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
| Year of publication: |
2023
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|---|---|
| Authors: | Guggenberger, Patrik ; Kleibergen, Frank ; Mavroeidis, Sophocles |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 233.2023, 1, p. 88-112
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| Subject: | Covariance matrix | Heteroskedasticity | Invariance | Kronecker product structure | Linear instrumental variables regression model | Reduced rank | Weak identification | Schätztheorie | Estimation theory | IV-Schätzung | Instrumental variables | Korrelation | Correlation |