On the Fisher information matrix of a vector ARMA process

Yong Bao and Ying Hua

Economics Letters, 2014, vol. 123, issue 1, 14-16

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 (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:1:p:14-16

DOI: 10.1016/j.econlet.2014.01.019

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