This is a web appendix with supplementary material for the paper “A New Parametrization of Correlation Matrices” by Archakov and Hansen (2020). Here, we present four sets of results: 1) The finite sample properties of γˆ when C has a Toeplitz structure. 2) The finite sample properties of γˆ when C has general (randomly generated) structure. 3) The Jacobian ∂ρ/∂γ for two correlation matrices. One with a Toeplitz structure, and one based on the empirical correlation matrix for returns on 10 industry portfolios. 4) Software implementations of C(γ), that reconstructs C from γ for Julia, Matlab, Ox, Python, and R.

View pdf

Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic Theory in its Relation to Statistics and Mathematics

Supplemental Material

Econometrica - Volume 12, Issue 3

Supplement to "Specification tests for non‐Gaussian maximum likelihood estimators"

Supplement to "Specification tests for non‐Gaussian maximum likelihood estimators"

Supplement to "Specification tests for non‐Gaussian maximum likelihood estimators"

Supplement to "Specification tests for non‐Gaussian maximum likelihood estimators"

Supplement to "Inference on semiparametric multinomial response models"

Supplement to "Inference on semiparametric multinomial response models"

Supplement to "Inference on semiparametric multinomial response models"

Supplement to "Inference on semiparametric multinomial response models"

Supplement to "A unified framework for efficient estimation of general treatment models"

Supplement to "A unified framework for efficient estimation of general treatment models"

Supplement to "Rationalizing rational expectations: Characterizations and tests"

Supplement to "Rationalizing rational expectations: Characterizations and tests"

Supplement to "Rationalizing rational expectations: Characterizations and tests"

Supplement to "Rationalizing rational expectations: Characterizations and tests"

Supplement to "A generalized approach to indeterminacy in linear rational expectations models"

Supplement to "A generalized approach to indeterminacy in linear rational expectations models"

Supplement to "A generalized approach to indeterminacy in linear rational expectations models"

Supplement to "A generalized approach to indeterminacy in linear rational expectations models"

Supplement to "Saddle cycles: Solving rational expectations models featuring limit cycles (or chaos) using perturbation methods"

Supplement to "Saddle cycles: Solving rational expectations models featuring limit cycles (or chaos) using perturbation methods"

Supplement to "Saddle cycles: Solving rational expectations models featuring limit cycles (or chaos) using perturbation methods"

Supplement to "Saddle cycles: Solving rational expectations models featuring limit cycles (or chaos) using perturbation methods"

Supplement to "Average crossing time: An alternative characterization of mean aversion and reversion"

Supplement to "Average crossing time: An alternative characterization of mean aversion and reversion"

Supplement to "Bullying among adolescents: The role of skills"

Supplement to "Bullying among adolescents: The role of skills"

Supplement to "Bullying among adolescents: The role of skills"

Supplement to "Bullying among adolescents: The role of skills"

Supplement to "Peer effects on the United States Supreme Court"

Supplement to "Peer effects on the United States Supreme Court"

Supplement to "Peer effects on the United States Supreme Court"

Supplement to "Peer effects on the United States Supreme Court"

Supplement to "Bandits in the lab"

Supplement to "Bandits in the lab"

Supplement to "Bandits in the lab"

Supplement to "Bandits in the lab"

Supplement to "Robust Bayesian Inference for Set-Identified Models"

Supplement to "Robust Bayesian Inference for Set-Identified Models"

Supplement to "Extreme Points and Majorization: Economic Applications"

Supplement to "Quantitative Analysis of Multiparty Tariff Negotiations"

Supplement to "Recovering Preferences from Finite Data"

Supplement to "Redistribution Through Markets"

Supplement to "A New Parametrization of Correlation Matrices"

Supplement to "A New Parametrization of Correlation Matrices"

Supplement to "Sales and Markup Dispersion: Theory and Empirics"

Supplement to "Sales and Markup Dispersion: Theory and Empirics"

Supplement to "Local Projection Inference is Simpler and More Robust Than You Think"

Supplement to "Local Projection Inference is Simpler and More Robust Than You Think"

Supplement to "Generalized Local-to-Unity Models"

Supplement to "TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands"

Supplement to "TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands"

Supplement to "Taxing Identity: Theory and Evidence from Early Islam"

Supplement to "Taxing Identity: Theory and Evidence from Early Islam"

Supplement to "Bootstrap Standard Error Estimates and Inference"

Supplement to "Reputation and Sovereign Default"

Supplement to "Reputation and Sovereign Default"

Follow Us On...

Become A Member Of The Econometric Society

Log In

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics