Parameter Covariance For GCE-M |
Golan, Judge, and Miller (1996) give the finite approximation to the asymptotic variance matrix of the moment formulation as:
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where
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and
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Recall that in the moment formulation, is the support of
, which implies that
is a
-dimensional variance matrix.
and
are both diagonal matrices with the form
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and
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Note: This procedure is experimental.