What is the covariance matrix, Cov[, b], of the GLS estimator = (X' -1 X)
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What is the covariance matrix, Cov[β̂, β̂ −b], of the GLS estimator β̂ = (X'Ω-1 X)−1 X'Ω−1 y and the difference between it and the OLS estimator, b = (X'X)−1X'y? The result plays a pivotal role in the development of specification tests in Hausman (1978).
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