Why va(g)=wa(∑un)→n∑Bun)=nS This fact suggests that a good weighting matrix might be inverse of S. Hansen(1982)shows formally that the choice W=S-is statistically optimal weighting matrix, meaning that it produces estimates with lowest asymptotic varianceWhy • This fact suggests that a good weighting matrix might be inverse of S. Hansen (1982) shows formally that the choice is statistically optimal weighting matrix, meaning that it produces estimates with lowest asymptotic variance. −1 S ∑ ∑ ∞ =−∞ − = = + → = j t t j T t T t S T E u u T u T g 1 ( ' ) 1 ) 1 var( ) var( 1 1 −1 W = S