Bhimasankaram Pochiraju
Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization
Pochiraju, Bhimasankaram; Seshadri, Sridhar; Thomakos, Dimitrios D.; Nikolopoulos, Konstantinos
Authors
Sridhar Seshadri
Dimitrios D. Thomakos
Professor Kostas Nikolopoulos kostas.nikolopoulos@durham.ac.uk
Professor
Abstract
For a symmetric matrix B, we determine the class of Q such that QtBQ is non-negative definite and apply it to panel data estimation and forecasting: the Hausman test for testing the endogeneity of the random effects in panel data models. We show that the test can be performed if the estimated error variances in the fixed and random effects models satisfy a specific inequality. If it fails, we discuss the restrictions under which the test can be performed. We show that estimators satisfying the inequality exist. Furthermore, we discuss an application to a constrained quadratic minimization problem with an indefinite objective function.
Citation
Pochiraju, B., Seshadri, S., Thomakos, D. D., & Nikolopoulos, K. (2020). Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization. Stats, 3(3), 185-202. https://doi.org/10.3390/stats3030015
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 30, 2020 |
Online Publication Date | Jul 6, 2020 |
Publication Date | 2020-09 |
Deposit Date | Jul 6, 2020 |
Publicly Available Date | Jul 7, 2020 |
Journal | Stats |
Publisher | MDPI |
Peer Reviewed | Peer Reviewed |
Volume | 3 |
Issue | 3 |
Pages | 185-202 |
DOI | https://doi.org/10.3390/stats3030015 |
Public URL | https://durham-repository.worktribe.com/output/1267473 |
Files
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Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/
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