ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM

作者：O. Linton, Haihan Tang · 发表于：Econometric Theory · 年份：2020 · DOI：10.1017/s026646662000050x · 被引用次数：7 · 研究领域：Mathematics

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 ${\log }^3n/T\to 0$ . We obtain the limiting distributions of the Lagrange multiplier and Wald tests under both the null and local alternatives concerning the mean vector $\mu $ . Testing linear restrictions of $\mu $ is also investigated. Finally, our methodology is shown to perform well in finite sample situations both when the Kronecker product model is true and when it is not true.