Pythagorean generalization of testing the equality of two symmetric positive definite matrices

• Main Authors: CHO, Jin Seo, PHILLIPS, Peter C. B.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2018
• 主題: Matrix equality; Trace; Determinant; Arithmetic mean; Geometric mean; Harmonic mean; Sandwich covariance matrix; Eigenvalues; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/2368; https://ink.library.smu.edu.sg/context/soe_research/article/3367/viewcontent/JSCHO_05_09_17_IMTest_av.pdf

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 or the sandwich asymptotic covariance matrix of the GMM estimator. The test relies on a new characterization of equality...