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Inferential Statisticshard
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Suppose a sequence of M-estimators θ^n\hat{\theta}_nθ^n​ satisfies ∑i=1nψ(Xi,θ^n)=0\sum_{i=1}^n \psi(X_i, \hat{\theta}_n) = 0∑i=1n​ψ(Xi​,θ^n​)=0. In a misspecified model, the asymptotic variance of n(θ^n−θ∗)\sqrt{n}(\hat{\theta}_n - \theta^*)n​(θ^n​−θ∗) is given by the sandwich estimator A−1BA−1A^{-1} B A^{-1}A−1BA−1. What do the matrices AAA and BBB represent?