Some results in matrix calculus and an example of their application to econometrics
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Magnus, Jan R. & Neudecker, H., 1986.
"Symmetry, 0-1 Matrices and Jacobians: A Review,"
Econometric Theory, Cambridge University Press, vol. 2(2), pages 157-190, August.
- Magnus, J & Neudecker, H, 1985. "Symmetry, 0-1 Matrices, And Jacobians: A Review," University of Amsterdam, Actuarial Science and Econometrics Archive 293083, University of Amsterdam, Faculty of Economics and Business.
- Magnus, J.R. & Neudecker, H., 1986. "Symmetry, 0-1 matrices and Jacobians : A review," Other publications TiSEM c1c491d0-f2bf-4de1-94f8-3, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
- Turkington, Darrell A., 1989. "Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model," Journal of Econometrics, Elsevier, vol. 42(3), pages 299-317, November.
- Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix : Some properties and applications," Other publications TiSEM d0b1e779-7795-4676-ac98-1, Tilburg University, School of Economics and Management.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
- Liu, Shuangzhe & Leiva, Víctor & Zhuang, Dan & Ma, Tiefeng & Figueroa-Zúñiga, Jorge I., 2022. "Matrix differential calculus with applications in the multivariate linear model and its diagnostics," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Reinaldo B. Arellano-Valle & Adelchi Azzalini, 2022. "Some properties of the unified skew-normal distribution," Statistical Papers, Springer, vol. 63(2), pages 461-487, April.
- Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Working Papers hal-01349639, HAL.
- Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
- Shanshan Hu & Yongxin Yuan, 2023. "Common Solutions to the Matrix Equations $$AX=B$$ A X = B and $$XC=D$$ X C = D on a Subspace," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 372-386, July.
- Christian Gische & Manuel C. Voelkle, 2022. "Beyond the Mean: A Flexible Framework for Studying Causal Effects Using Linear Models," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 868-901, September.
- Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.
- Paulo M. D. C. Parente & Richard J. Smith, 2021.
"Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magnus, Jan R., 2007.
"The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator,"
Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
- Jan R. Magnus, 2007. "The asymptotic variance of the pseudo maximum likelihood estimator," CIRJE F-Series CIRJE-F-479, CIRJE, Faculty of Economics, University of Tokyo.
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers 52/16, Institute for Fiscal Studies.
- Loperfido, Nicola, 2021. "Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019.
"How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis,"
Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248,
Emerald Group Publishing Limited.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018. "How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis," CAMA Working Papers 2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016.
"Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case,"
LIDAM Discussion Papers CORE
2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers CWP52/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hong Lan & Alexander Meyer-Gohde, 2013.
"Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations,"
SFB 649 Discussion Papers
SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hong Lan & Alexander Meyer-Gohde, 2013. "Dynare add-on for "Pruning in Perturbation DSGE Models"," QM&RBC Codes 196, Quantitative Macroeconomics & Real Business Cycles.
- Maddalena Cavicchioli, 2016. "Weak VARMA representations of regime-switching state-space models," Statistical Papers, Springer, vol. 57(3), pages 705-720, September.
- Lan, Hong & Meyer-Gohde, Alexander, 2012.
"Existence and Uniqueness of Perturbation Solutions in DSGE Models,"
Dynare Working Papers
14, CEPREMAP.
- Hong Lan & Alexander Meyer-Gohde, 2012. "Existence and Uniqueness of Perturbation Solutions to DSGE Models," SFB 649 Discussion Papers SFB649DP2012-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009.
"Asymmetric multivariate normal mixture GARCH,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uwa:wpaper:97-07. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sam Tang (email available below). General contact details of provider: https://edirc.repec.org/data/deuwaau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.