An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models
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- 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.
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Cited by:
- Abdelhamid Ouakasse & Guy Mélard, 2017. "A New Recursive Estimation Method for Single Input Single Output Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 417-457, May.
- Boubacar Mainassara, Y. & Carbon, M. & Francq, C., 2012.
"Computing and estimating information matrices of weak ARMA models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 345-361.
- Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian, 2010. "Computing and estimating information matrices of weak arma models," MPRA Paper 27685, University Library of Munich, Germany.
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