Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
arXiv 21 Oct 2020 · Econometrics · publishedJournal of Econometrics (2021) · 3 citations (OpenAlex)
arXiv:2010.10961 · PDF · DOI · OpenAlex · Extracted main text
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on a certain transformation of the covariance matrix and the new procedure is an adaptation of the Kleibergen and Paap (2006) reduced rank test. To derive the limiting distribution of the Wald type test statistic proves challenging partly because of the singularity of the covariance matrix estimator that appears in the weighting matrix. We show that the test statistic has a chi square limiting null distribution with degrees of freedom equal to the number of restrictions tested. Local asymptotic power results are derived. Monte Carlo simulations reveal good size and power properties of the test. Re-examining fifteen highly cited papers conducting instrumental variable regressions, we find that KPS is not rejected in 56 out of 118 specifications at the 5% nominal size.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kleibergen, F. and R. Paap (2006) Generalized reduced rank tests using the singular value decomposition self | 0.950 | 21 | 5 | 86% |
| 2 | Guggenberger, P., F. Kleibergen, and S. Mavroeidis (2021) A powerful subvector anderson rubin test in linear instrumental variables regression with conditional heteroskedasticity self | 0.909 | 8 | 4 | 75% |
| 3 | Van Loan, C. and N. Pitsianis (1993) Approximation with kronecker products | 0.843 | 5 | 3 | 60% |
| 4 | Newey, W. and F. Windmeijer (2009) GMM with many weak moment conditions | 0.644 | 3 | 2 | 67% |
| 5 | Chen, Q. and Z. Fang (2019) Improved inference on the rank of a matrix | 0.644 | 2 | 2 | 100% |
| 6 | Andrews, D. W. K (2017) Identification-robust subvector inference | 0.585 | 3 | 1 | 100% |
| 7 | Guggenberger, P., F. Kleibergen, and S. Mavroeidis (2019) A more powerful subvector Anderson Rubin test in linear instrumental variable regression self | 0.585 | 3 | 1 | 100% |
| 8 | Acemoglu, D., D. Cantoni, S. Johnson, and J. A. Robinson (2011) The Consequences of Radical Reform: The French Revolution | 0.511 | 2 | 1 | 100% |
| 9 | Autor, D. H. and D. Dorn (2013) The Growth of Low-Skill Service Jobs and the Polarization of the US Labor Market | 0.511 | 2 | 1 | 100% |
| 10 | Autor, D. H., D. Dorn, and G. H. Hanson (2013) The China Syndrome: Local Labor Market Effects of Import Competition in the United States | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 45 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Powerful Subvector Anderson-Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity | 0.405 | 1 | 1 |
| 2 | Using Multiple Outcomes to Adjust Standard Errors for Spatial Correlation | 0.405 | 1 | 1 |