On the Fisher Information Matrix of a Vector Arma Process
Economics Letters, 2014, vol. 123 (1), 14-16.
Posted: 27 Feb 2016
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: 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
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