We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on an invertible transformation of the covariance matrix and the new procedure is an adaptation of the Kleibergen-Paap (2006) reduced rank test. The main extension concerns...

We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test,...

We construct a novel statistic to test hypothezes on subsets of the structural parameters in anInstrumental Variables (IV) regression model. We derive the chi squared limiting distribution of thestatistic and show that it has a degrees of freedom parameter that is equal to the number...

We propose a novel statistic for testing the structural parameters in Instrumental Variables Regression. The statistic is straightforward to compute and has a limiting distribution that is pivotal with a degrees of freedom parameter that is equal to the number of tested parameters. It therefore...