Symbolic Derivatives for Econometric Tests
by Alan Weiss
02 Nov 2009
(Updated 08 Feb 2010)
How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox
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| File Information |
| Description |
Two Econometrics Toolbox functions, lmtest and waldtest, require you to give derivative estimates or covariance estimates as inputs. How are you supposed to calculate those inputs? This demo shows how to calculate them using the Symbolic Math Toolbox jacobian function for gradients and covariances (via Hessians), and matlabFunction for turning those gradients and covariances into function handles or files.
The demo is similar in some ways to those showing how to use symbolic functions for optimization. The difference is largely that econometrics uses data. The demo shows how to use data as an input for econometrics functions symbolically. |
| Required Products |
Econometrics Toolbox
Symbolic Math Toolbox
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| MATLAB release |
MATLAB 7.9 (2009b)
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| Updates |
| 24 Nov 2009 |
Changed the copyright notice and added a trademark symbol. |
| 08 Feb 2010 |
Showed how to use Statistics Toolbox to compute the same test. |
| 08 Feb 2010 |
Updated HTML files. |
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