Estimation of the Kronecker Covariance Model by Quadratic Form

Oliver Linton and Haihan Tang

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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 sample size T ). In particular, the quadratic form estimator is consistent in a relative Frobenius norm sense provided log 3 n/T → 0. We obtain the limiting distributions of Lagrange multiplier (LM) and Wald tests under both the null and local alternatives concerning the mean vector μ. Testing linear restrictions of μ is also investigated. Finally, our methodology performs well in the finite-sample situations both when the Kronecker product model is true, and when it is not true.

Keywords: Covariance matrix; Kronecker product; Quadratic form; Lagrange multiplier test; Wald test (search for similar items in EconPapers)
Date: 2020-06-01
New Economics Papers: this item is included in nep-ecm
Note: obl20
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:2050

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