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

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

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Bibliographic Details
Main Authors: CHO, Jin Seo, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Matrix equality
Trace
Determinant
Arithmetic mean
Geometric mean
Harmonic mean
Sandwich covariance matrix
Eigenvalues
Econometrics
Online Access: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
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Institution: Singapore Management University
Language: English

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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

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