Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations
- 1 October 2003
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 21 (4) , 532-546
- https://doi.org/10.1198/073500103288619232
Abstract
We provide numerically reliable analytical expressions for the score, Hessian, and information matrix of conditionally heteroscedastic dynamic regression models when the conditional distribution is...Keywords
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