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

• 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
• Institution: Singapore Management University

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...