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The asymptotic and exact Fisher information matrices

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  • André Klein
  • Guy Melard
  • Abdessamad Saidi

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  • André Klein & Guy Melard & Abdessamad Saidi, 2008. "The asymptotic and exact Fisher information matrices," ULB Institutional Repository 2013/13766, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/13766
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    References listed on IDEAS

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    1. André Klein & Guy Melard, 1994. "Computation of the Fisher information matrix for SISO models," ULB Institutional Repository 2013/13728, ULB -- Universite Libre de Bruxelles.
    2. Peter A. Zadrozny, 1988. "Analytic Derivatives for Estimation of Linear Dynamic Models," Working Papers 88-5, Center for Economic Studies, U.S. Census Bureau.
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    Cited by:

    1. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
    2. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    3. Cavicchioli, Maddalena, 2017. "Asymptotic Fisher information matrix of Markov switching VARMA models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 124-135.
    4. Maddalena Cavicchioli, 2020. "A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 129-139, March.

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    13. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.

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