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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| 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 |