Abstract
We consider a general multivariate conditional heteroskedastic time series model and derive the information matrix of the maximum likelihood estimator by using the matrix differential calculus techniques of Magnus and Neudecker (1991). We discuss the VAR VARCH model as a special case, and demonstrate the maximum likelihood estimation of the information matrix in an example with simulated data.
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Liu, S., Polasek, W. (1999). Maximum Likelihood Estimation for the VAR-VARCH Model: A New Approach. In: Leopold-Wildburger, U., Feichtinger, G., Kistner, KP. (eds) Modelling and Decisions in Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-662-12519-9_6
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DOI: https://doi.org/10.1007/978-3-662-12519-9_6
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-2462-9
Online ISBN: 978-3-662-12519-9
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