| Authors |
|
| Publication date |
2003
|
| Series |
UvA Econometrics Discussion Paper, 2003/04
|
| Number of pages |
47
|
| Publisher |
Amsterdam: Department of Quantitative Economics
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
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.
|
| Document type |
Working paper
|
| Language |
English
|
| Published at |
http://www1.feb.uva.nl/pp/bin/472fulltext.pdf
|
|
Downloads
|
|
|
Permalink to this page
|
