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Pythagorean generalization of testing the equality of two symmetric positive definite matrices
Cho, Jin Seo; Phillips, Peter C. B. - In: Journal of econometrics 202 (2018) 1, pp. 45-56
Persistent link: https://www.econbiz.de/10011974552
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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A test for Kronecker Product Structure covariance matrix
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Journal of econometrics 233 (2023) 1, pp. 88-112
Persistent link: https://www.econbiz.de/10014340952
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Autoregressive spatial spectral estimates
Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10011974618
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
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Bayesian estimation of cluster covariance matrices of unknown form
Creal, Drew; Kim, Jaeho - In: Journal of econometrics 241 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015075138
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Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference
Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 659-677
Persistent link: https://www.econbiz.de/10010257366
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The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity
Casini, Alessandro - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073915