ASYMPTOTIC_COVARIANCE

ASYMPTOTIC_COVARIANCE - ASYMPTOTIC COVARIANCE 1. SAR Model...

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ASYMPTOTIC COVARIANCE 1. SAR Model 2 ,, ( 0 , ) n yX u u W u N I βρ ε σ =+ = + ( ) 11 2 1 () , ( ) n uI W B y N X B B ρρ ρ ρε β −− ⇒= = If 1 GW B = , then the asymptotic covariance matrix is given by: 1 2 ˆˆ 24 2 ˆ ˆ ˆ '0 0 ˆ ˆ ˆ cov( , , ) 0 / 2 ( ) 0( ) ( ( ) ) XBBX nt r G tr G tr G G G βσ ρ σσ   = +  1. SP-Lag Model 2 ,( 0 , ) n yW y X N I λβ εσ + n By I Wy X λ βε = + ( ) 1 2 1 ) yB X B yN B X B B λλ + If 1 B = and 42 (,) ( ( ) ) H tr G G G X G X λσ ′′ + , then the asymptotic covariance matrix is given by: 1 22 ˆ 2 ˆ ' ˆ cov(
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