Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing
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- repec:eee:econom:v:202:y:2018:i:1:p:45-56 is not listed on IDEAS
- Cho, Jin Seo & Phillips, Peter C.B., 2018.
"Pythagorean generalization of testing the equality of two symmetric positive definite matrices,"
Journal of Econometrics,
Elsevier, vol. 202(1), pages 45-56.
- Jin Seo Cho & Peter C.B. Phillips, 2016. "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices," Working papers 2016rwp-89, Yonsei University, Yonsei Economics Research Institute.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015.
"An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability,"
Cambridge Working Papers in Economics
1552, Faculty of Economics, University of Cambridge.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers CWP13/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
More about this item
KeywordsMatrix equality; Information matrix test; Eigenvalues; Trace; Determinant; Eigenspectrum test; Parametric Bootstrap.;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-08-02 (All new papers)
- NEP-ECM-2014-08-02 (Econometrics)
- NEP-ORE-2014-08-02 (Operations Research)
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