replication_code_KPST.zip (423.1 kB)

A test for Kronecker Product Structure covariance matrix

journal contribution

posted on 2023-01-16, 15:28 authored by F.R. KleibergenF.R. Kleibergen, Patrik Guggenberger, Sophocles Mavroeidis

Replication code for the results in the paper and the involved data

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2026-08-29

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A test for Kronecker Product Structure covariance matrix

Quantitative Economics

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Social Science

Keywords

covariance matrix invariance linear instrumental variables regression model Kronecker product structure Weak identification reduced rank HETEROSKEDASTICITY

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