A test for Kronecker product structure covariance matrix
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on a certain transformation of the covariance matrix and the new procedure is an adaptation of the Kleibergen and Paap (2006) reduced rank test. To derive the limiting distribu...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
University of Oxford
2021
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