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The variance matrix of sample second-order moments in multivariate linear relations

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Abstract

We derive an expression for the variance matrix of the vector of (uncentered) sample second-order moments under multivariate linear relations and an independence assumption. An application of the result is presented.
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  • Albert Satorra, 1992. "The variance matrix of sample second-order moments in multivariate linear relations," Economics Working Papers 8, Department of Economics and Business, Universitat Pompeu Fabra.
    • Handle: RePEc:upf:upfgen:8
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    1. Neudecker, Heinz & Satorra, Albert, 1991. "Linear structural relations: Gradient and Hessian of the fitting function," Statistics & Probability Letters, Elsevier, vol. 11(1), pages 57-61, January.
    2. Albert Satorra, 1991. "Asymptotic robust inferences in the analysis of mean and covariance structures," Economics Working Papers 3, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Robert Jennrich, 1987. "Tableau algorithms for factor analysis by instrumental variable methods," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 469-476, September.
    4. Satorra, Albert & Bentler, Peter M., 1990. "Model conditions for asymptotic robustness in the analysis of linear relations," Computational Statistics & Data Analysis, Elsevier, vol. 10(3), pages 235-249, December.
    5. Albert Satorra, 1989. "Alternative test criteria in covariance structure analysis: A unified approach," Psychometrika, Springer;The Psychometric Society, vol. 54(1), pages 131-151, March.
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    1. Albert Satorra, 1991. "Asymptotic robust inferences in the analysis of mean and covariance structures," Economics Working Papers 3, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Albert Satorra, 1992. "Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments," Economics Working Papers 16, Department of Economics and Business, Universitat Pompeu Fabra.

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