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 show that three convenient statistical properties that are known to hold forthe linear model with normal distributed errors that: (i.) when the variance is known, the likelihood based test statistics, Wald, Likelihood Ratio andScore or Lagrange Multiplier, coincide, (ii.) when the variance is...