The estimator of the coefficient covariance matrix proposed in White (1982) can be used to robustify the classical Wald … such an estimator tends to underestimate the covariance matrix if the model is correctly specified. In the classical … framework of simultaneous equation systems, this paper aims at investigating the consequences of the use of robust covariance …

estimate of the structural coefficiencs covariance matrix among input data. When estimation is performed with full information … maximum likelihood, alternative estimators of such a covariance matrix (Hessian, outer product, generalized least squares type …

In econometric models, estimates of the asymptotic covariance matrix of FIML coefficients are traditionally computed in … covariance matrix in standardizing or normalizing FIML estimated coefficients in the small samples is investigated in this paper …

producing estimates of the asymptotic covariance matrix of coefficients is analyzed and, again. experimented with Monte Carlo on …

For some structural econometric models, the contribution of the off-diagonal blocks of the coefficients covariance … matrix to the asymptotic standard errors of multipliers and forecasts is empirically evaluated. …