getvarmatrix_ms_ar.m

来自「matlab自回归马尔可夫转换模型仿真估计与预测」· M 代码 · 共 20 行

% Function for calculating standard errors of MS_Regress_Fit
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% The calculation (aproximation) of the first and second derivative of the likelihood
% function is done by one side finite differences method
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% Four methods for the calculation of the covariance matrix were implemented here:
% (1) Using second partial derivatives
% (2) Using first partial derivatives (outer product Matrix)
% (3) Using white covariance matrix 
% (4) Using Newey and West Covariance matrix
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% The standard erros from the last two methods are also called robust
% standard errors.
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% References:
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% HAMILTON, J., D. (1994). Time Series Analysis. Princeton University Press.
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% NEWEY, B., WEST, D (1987) 慉 Simple, Positive semidefinite, Heteroskedasticity
% and Autocorrelation Consistent Covariance Matrix