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Missouri Version - Ben Bolstad
Missouri Version - Ben Bolstad
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Variance CovarianceEstimates• Suppose model is Y = Xβ + ε• Huber (1981) gives three forms for estimatingvariance covariance matrix2κ1/( n−p) ψ ( r)⎡⎢1/n⎣∑i∑iψ ′( r)i⎤⎥⎦i22(TX X )−11/( n−p)ψ riiκ1/ n ψ ′ r∑i∑( )( )i2W−11 1/−( ) ( ) (Tn−p ∑ψr )iW X X Wκi2 1 −1We will use this formT 'W = X Ψ X