On the Fisher Information Matrix of a Vector Arma Process

Economics Letters, 2014, vol. 123 (1), 14-16.

Posted: 27 Feb 2016

See all articles by Yong Bao

Yong Bao

Purdue University

Ying Hua

University of International Business and Economics (UIBE)

Date Written: February 25, 2014

Abstract

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when the process is non-Gaussian.

Keywords: Fisher information matrix, VARMA, Gaussian maximum likelihood estimator

JEL Classification: C32, C12

Suggested Citation

Bao, Yong and Hua, Ying, On the Fisher Information Matrix of a Vector Arma Process (February 25, 2014). Economics Letters, 2014, vol. 123 (1), 14-16. , Available at SSRN: https://ssrn.com/abstract=2738105

Yong Bao (Contact Author)

Purdue University ( email )

Department of Economics
West Lafayette, IN 47907
United States

Ying Hua

University of International Business and Economics (UIBE) ( email )

10, Huixin Dongjie
Changyang District
Beijing, Beijing 100029
China

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