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Query: faculty: "FEB" and publication year: "2004"

AuthorsA. Klein, G. Mélard, J. Niemczyk, T. Zahaf
TitleA program for computing the exact Fisher information matrix of a Gaussian VARMA model
PublisherDepartment of Quantitative Economics
PlaceAmsterdam
Year2004
Pages16
Title seriesUvA Econometrics
Series number2004/15
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractA program in the MATLAB environment is described for computing the Fisher information matrix of the exact information matrix of a Gaussian vector autoregressive moving average (VARMA) model. A computationally efficient procedure is used on the basis of a state space representation. It relies heavily on matrix operations. An illustration of the procedure is given for simple VARMA models and an example of output from a more realistic application is discussed.
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