Assuming normality on the disturbances, verify (9.37), (9.40) and (9.41).

\[\begin{equation*}
\partial \Omega / \partial \sigma_{\mu}^{2}=\Delta_{1} \Delta_{1}^{\prime} ; \partial \Omega / \partial \sigma_{\lambda}^{2}=\Delta_{2} \Delta_{2}^{\prime} \quad \text { and } \quad \partial \Omega / \partial \sigma_{u}^{2}=I_{n} \tag{9.37}
\end{equation*}\]

\[\widetilde{D}=\left.(\partial L / \partial \theta)\right|_{\theta=\tilde{\theta}}=\left(n / 2 \widetilde{\sigma}_{u}^{2}\right)\left[\begin{array}{c}
A_{1}  \tag{9.40}\\
A_{2} \\
0
\end{array}\right]\]

\[\widetilde{J}=\left(n / 2 \widetilde{\sigma}_{u}^{4}\right)\left[\begin{array}{ccc}
M_{11} / n & 1 & 1  \tag{9.41}\\
1 & M_{22} / n & 1 \\
1 & 1 & 1
\end{array}\right]\]