Estimation of the Kronecker Covariance Model by Quadratic Form
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Authors
Linton, O.
Tang, H.
Abstract
We propose a new estimator, the quadratic form estimator, of the Kronecker product model for covariance matrices. We show that this estimator has good properties in the large dimensional case (i.e., the cross-sectional dimension n is large relative to the
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Keywords
Covariance matrix, Kronecker product, Quadratic form, Lagrange multiplier test, Wald test
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Faculty of Economics, University of Cambridge