| Authors |
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| Publication date |
2004
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| Series |
UvA Econometrics Discussion Paper, 2004/12
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| Number of pages |
8
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| Publisher |
Amsterdam: Department of Quantitative Economics
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| Organisations |
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
The 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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| Document type |
Working paper
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| Language |
English
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| Published at |
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