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

  • André Klein
  • Guy Melard
  • Toufik Zahaf
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13738/1/aos.pdf
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13738/3/Klein_Melard_Zahaf_1998.pdf
    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
    Date of revision:
    Publication status: Published in: Annals of Statistics (1998) v.26,p.1636-1650
    Handle: RePEc:ulb:ulbeco:2013/13738
    Contact details of provider: Postal:
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    Web page: http://difusion.ulb.ac.be

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    1. 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.
    2. 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.
    3. 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 857-70, July.
    4. 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.
    5. repec:nys:sunysb:93-01 is not listed on IDEAS
    6. 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.
    7. 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.
    8. André Klein & Guy Melard, 1994. "Computation of the Fisher information matrix for SISO models," ULB Institutional Repository 2013/13728, ULB -- Universite Libre de Bruxelles.
    9. Peter A. Zadrozny, 1988. "Analytic Derivatives for Estimation of Linear Dynamic Models," Working Papers 88-5, Center for Economic Studies, U.S. Census Bureau.
    10. 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.
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