Pythagorean generalization of testing the equality of two symmetric positive definite matrices
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چکیده
منابع مشابه
Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
We provide a new test for equality of two symmetric positive-definite matrices that leads to a convenient mechanism for testing specification using the information matrix equality and the sandwich asymptotic covariance matrix of the GMM estimator. The test relies on a new characterization of equality between two k dimensional symmetric positive-definite matrices A and B: the traces of AB−1 and ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2018
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2017.05.020