Inferential Statisticshard
0:00.0

In the context of M-estimation with the estimator defined by the estimating equation i=1nψ(Xi,θ^)=0\sum_{i=1}^{n} \psi(X_i, \hat{\theta}) = 0, what does the 'sandwich' covariance matrix V^=1nA1BA1\hat{V} = \frac{1}{n} A^{-1} B A^{-1} account for when the model is misspecified?