کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7358182 1478572 2018 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pythagorean generalization of testing the equality of two symmetric positive definite matrices
ترجمه فارسی عنوان
تعمیم پیتاگور به منظور تست برابری دو ماتریس قطعی مثبت متقارن
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We provide a new test for equality of two symmetric positive-definite matrices that leads to a convenient mechanism for testing specification using the information matrix equality or the sandwich asymptotic covariance matrix of the GMM estimator. The test relies on a new characterization of equality between two k dimensional symmetric positive-definite matrices A and B: the traces of AB−1 and BA−1 are equal to k if and only if A=B. Using this simple criterion, we introduce a class of omnibus test statistics for equality and examine their null and local alternative approximations under some mild regularity conditions. A preferred test in the class with good omni-directional power is recommended for practical work. Monte Carlo experiments are conducted to explore performance characteristics under the null and local as well as fixed alternatives. The test is applicable in many settings, including GMM estimation, SVAR models and high dimensional variance matrix settings.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 202, Issue 1, January 2018, Pages 45-56
نویسندگان
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