content_image/306645.jpg content_image/306643.jpg content_image/306644.jpg content_image/306640.jpg content_image/306641.jpg
Then 

As shown in Web Appendix B, differentiation of (12) gives 

and 

<img src='content_image/306645.jpg'>

<img src='content_image/306643.jpg'>

<img src='content_image/306644.jpg'>

where ( Σ − $^{1}$)$_{·}$$_{k}$ and ( Ω − $^{1}$)$_{·}$$_{k}$ denote the k th columns of Σ − 1 and Ω − $^{1}$, respectively. Then, if we define ̂ η ⊗ 2 i = E ( η$_{i}$ ⊗ η$_{i}$ | y$_{i}$$_{·}$ ) and ̂ ξ ⊗ 2 ij = E ( ξ$_{ij}$ ⊗ ξ$_{ij}$ | y$_{i}$$_{·}$ ) , after some algebra we obtain: 

<img src='content_image/306640.jpg'>

<img src='content_image/306641.jpg'>

