Econometrics II

We studied issues concerning the ARMA(1,1) process using Matlab. Semi-parametric estimation of ARMA models when the orders are known was addressed, evaluating the Gaussian QMLE and discussing the numerical nature of its derivation. In the case where the order of the process was unknown we were occupied with the use of the Bayesian Information Criterion (BIC) in order to select between candidate models. You can find notes on the latter here. A Matlab code for all the above can be found here.