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Symbolic Derivatives for Econometric Tests

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Symbolic Derivatives for Econometric Tests



02 Nov 2009 (Updated )

How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox

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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 Control System Toolbox
Econometrics Toolbox
Statistics and Machine Learning Toolbox
Symbolic Math Toolbox
MATLAB release MATLAB 7.9 (R2009b)
MATLAB Search Path
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24 Nov 2009 1.1

Changed the copyright notice and added a trademark symbol.

08 Feb 2010 1.2

Showed how to use Statistics Toolbox to compute the same test.

08 Feb 2010 1.3

Updated HTML files.

22 Oct 2014 1.4

Converted to a Toolbox, to enable easy installation in R2014b and later.

01 Sep 2016

Updated license

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