Inference on covariance-mean regression

DOI10.1016/j.jeconom.2021.05.004OpenAlexW3167475188MaRDI QIDQ2172004

Tao Zou, Wei Lan, Chih-Ling Tsai, Run-Ze Li

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.05.004

zbMATH Keywords

hypothesis testingmultivariate regressionadjusted profile score functioncovariance-mean regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Covariance regularization by thresholding
• Asymptotically efficient estimation of covariance matrices with linear structure
• Tests for covariance structures with high-dimensional repeated measurements
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• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Asymptotic Statistics
• An overview of the estimation of large covariance and precision matrices
• High‐Dimensional Covariance Estimation
• Estimation and Inference for Linear Models in Which Subsets of the Dependent Variable are Constrained
• Consistent Estimates Based on Partially Consistent Observations
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