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

AuthorsA. Klein, P. Spreij
TitleAn explicit expression for the Fisher information matrix of a multiple time series process
PublisherDepartment of Quantitative Economics
Title seriesUvA Econometrics Discussion Paper
Series number2004/12
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe principal result in this paper is concerned with the derivative of a vector with respect to a block vector or matrix. This is applied to the asymptotic Fisher information matrix (FIM) of a stationary vector autoregressive and moving average time series process (VARMA). Representations which can be used for computing the components of the FIM are then obtained. In a related paper [1], the derivative is taken with respect to a vector. This is obtained by vectorizing the appropriate matrix products whereas in this paper the corresponding matrix products are left unchanged.
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