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The elimination matrix : Some lemmas and applications

Citations

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Cited by:

  1. Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
  2. Shriram Srinivasan & Nishant Panda, 2023. "What is the gradient of a scalar function of a symmetric matrix?," Indian Journal of Pure and Applied Mathematics, Springer, vol. 54(3), pages 907-919, September.
  3. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Working Papers hal-01349639, HAL.
  4. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  5. Magnus, Jan R., 2007. "The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
  6. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 473-495.
  7. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(1), pages 45-68, February.
  8. D.A. Turkington, 1997. "Some results in matrix calculus and an example of their application to econometrics," Economics Discussion / Working Papers 97-07, The University of Western Australia, Department of Economics.
  9. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  10. Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
  11. Steven E. Pav, 2013. "Asymptotic distribution of the Markowitz portfolio," Papers 1312.0557, arXiv.org, revised Mar 2020.
  12. Mark Bognanni & Edward P. Herbst, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Papers (Old Series) 1427, Federal Reserve Bank of Cleveland.
  13. St'ephane Bonhomme & Koen Jochmans & Martin Weidner, 2024. "A Neyman-Orthogonalization Approach to the Incidental Parameter Problem," Papers 2412.10304, arXiv.org.
  14. Sreenivasa Rao Jammalamadaka & Emanuele Taufer & Gyorgy H. Terdik, 2021. "On Multivariate Skewness and Kurtosis," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 607-644, August.
  15. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 102-134, January.
  16. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
  17. Karapanagiotidis, Paul, 2012. "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper 38885, University Library of Munich, Germany.
  18. Savas Papadopoulos, 2010. "Theory and methodology for dynamic panel data: tested by simulations based on financial data," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 239-253.
  19. 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.
  20. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
  21. J. Chacón & T. Duong, 2010. "Multivariate plug-in bandwidth selection with unconstrained pilot bandwidth matrices," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 375-398, August.
  22. Chun-Lung Su, 2021. "Bayesian multi-way balanced nested MANOVA models with random effects and a large number of the main factor levels," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 663-692, July.
  23. Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
  24. Armin Schwartzman, 2016. "Lognormal Distributions and Geometric Averages of Symmetric Positive Definite Matrices," International Statistical Review, International Statistical Institute, vol. 84(3), pages 456-486, December.
  25. Fred Espen Benth & Silvia Lavagnini, 2019. "Correlators of Polynomial Processes," Papers 1906.11320, arXiv.org, revised Apr 2021.
  26. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
  27. Liu, Shuangzhe & Leiva, Víctor & Zhuang, Dan & Ma, Tiefeng & Figueroa-Zúñiga, Jorge I., 2022. "Matrix differential calculus with applications in the multivariate linear model and its diagnostics," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  28. Christian Gische & Manuel C. Voelkle, 2022. "Beyond the Mean: A Flexible Framework for Studying Causal Effects Using Linear Models," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 868-901, September.
  29. Shi, Jianhong & Bai, Xiuqin & Song, Weixing, 2020. "Nonparametric regression estimate with Berkson Laplace measurement error," Statistics & Probability Letters, Elsevier, vol. 166(C).
  30. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
  31. Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.
  32. Shanshan Hu & Yongxin Yuan, 2023. "Common Solutions to the Matrix Equations $$AX=B$$ A X = B and $$XC=D$$ X C = D on a Subspace," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 372-386, July.
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