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Computation of the exact information matrix of Gaussian dynamic regression time series models

Listed author(s):
  • André Klein
  • Guy Melard
  • Toufik Zahaf
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    No abstract is available for this item.

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    File Function: Klein_Melard_Zahaf_1998
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/13738.

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    Date of creation: 1998
    Publication status: Published in: Annals of Statistics (1998) v.26,p.1636-1650
    Handle: RePEc:ulb:ulbeco:2013/13738
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    CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles

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    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    1. Peter A. Zadrozny, 1988. "Analytic Derivatives for Estimation of Linear Dynamic Models," Working Papers 88-5, Center for Economic Studies, U.S. Census Bureau.
    2. Mittnik, Stefan & Zadrozny, Peter A, 1993. "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models," Econometrica, Econometric Society, vol. 61(4), pages 857-870, July.
    3. André Klein & Guy Melard, 1989. "On algorithms for computing the covariance matrix of estimates in autoregresive-moving average processes," ULB Institutional Repository 2013/13710, ULB -- Universite Libre de Bruxelles.
    4. André Klein & Guy Melard, 1994. "Computation of the Fisher information matrix for SISO models," ULB Institutional Repository 2013/13728, ULB -- Universite Libre de Bruxelles.
    5. repec:nys:sunysb:93-01 is not listed on IDEAS
    6. Newton, H. Joseph, 1978. "The information matrices of the parameters of multiple mixed time series," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 317-323, June.
    7. André Klein & Guy Melard, 1990. "Fisher's information matrix for seasonal autoregressive-moving average models," ULB Institutional Repository 2013/13718, ULB -- Universite Libre de Bruxelles.
    8. André Klein & Guy Melard, 1994. "The information matrix of multiple input single output time series models," ULB Institutional Repository 2013/13732, ULB -- Universite Libre de Bruxelles.
    9. Guy Melard, 1984. "Algorithm AS197: A fast algorithm for the exact likelihood of autoregressive-moving average models," ULB Institutional Repository 2013/13692, ULB -- Universite Libre de Bruxelles.
    10. Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
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