| Authors |
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| Publication date |
2004
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| Series |
UvA Econometrics, 2004/15
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| Number of pages |
16
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| Publisher |
Amsterdam: Department of Quantitative Economics
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
A 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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| Document type |
Working paper
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| Language |
English
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| Published at |
http://www1.feb.uva.nl/pp/bin/486fulltext.pdf
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