| Authors |
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| Publication date |
2002
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| Series |
UvA Econometrics Discussion Paper, 2002/03
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| Number of pages |
15
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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 |
In this paper we study Stein equations where the coefficient matrices are in companion form. Solutions to such equations are relatively easy to compute as soon as one knows how to invert a Vandermonde matrix (in the generic case where all eigenvalues have multiplicity one) or a confluent Vandermonde matrix (in the general case). As an application we present a way to compute the Fisher information matrix of an ARMA process. The computation is based on the fact that this matrix can be decomposed into blocks where each block satisfies a certain Stein equation.
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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/462fulltext.pdf
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