We have known that the asymptotic determinant of the covariance matrix when its order goes to infinity.
I am wondering whether there is the close form in the finite case? Thanks,
This was dealt with to some extent by Hansen in Journal of Econometrics Volume 141, Issue 2, December 2007, Pages 597–620 with article entitled Asymptotic properties of a robust variance matrix estimator for panel data when T is large
Thank you, Dr. McClelland. That will very helpful.
Pengda
I wonder what would be the use of such an information. For some proof? Practical?
A wild guess is 0
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