Dear All,
Does anyone know why SPM high-pass filters both rows and columns of (W*V*W')
when estimating the pre-whitened variance. In (e.g. Woolridge 2001) the
variance estimate is given by:
var = ResSS / trace(R*W*V*W');
but SPM does the filtering before calculating the above trace (which does
give different results) so I'm curious as to what the accepted convention is
and why SPM chooses to filter before calculating the trace.
Regards,
Brian
|