- An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models
- Number of pages
- Amsterdam: Department of Quantitative Economics
- UvA Econometrics Discussion Paper
- Volume | Edition (Serie)
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
The paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single input single output (SISO) time series model. That matrix is a block matrix whose elements are basically integrals over the oriented unit circle of rational functions. The procedure makes use of the autocovariance function of one or the cross-covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.
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