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Symbolic Derivatives for Econometric Tests

02 Nov 2009 (Updated 08 Feb 2010)

Code covered by the BSD License

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

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
MATLAB release	MATLAB 7.9 (2009b)
Zip File Content
HTML Files	Symbolic Derivatives for Econometric Tests
Other Files	license.txt, symbolic_econometric_tests.m, symbolic_econometric_tests.png, symbolic_econometric_tests_01.png, symbolic_econometric_tests_eq03455.png, symbolic_econometric_tests_eq08934.png, symbolic_econometric_tests_eq24873.png, symbolic_econometric_tests_eq34683.png, symbolic_econometric_tests_eq44020.png, symbolic_econometric_tests_eq45960.png, symbolic_econometric_tests_eq46610.png, symbolic_econometric_tests_eq87016.png, symbolic_econometric_tests_eq87919.png, symbolic_econometric_tests_eq89604.png, symbolic_econometric_tests_eq98545.png

Tags for This File
Everyone's Tags	covariance, derivative, econometrics, gradient, jacobian, lmtest, matlabfunction, score, symbolic, waldtest
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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.

Tag Activity for this File
Tag	Applied By	Date/Time
symbolic	Alan Weiss	24 Nov 2009 11:10:40
matlabfunction	Alan Weiss	24 Nov 2009 11:10:41
jacobian	Alan Weiss	24 Nov 2009 11:10:41
derivative	Alan Weiss	24 Nov 2009 11:10:41
gradient	Alan Weiss	24 Nov 2009 11:10:41
econometrics	Alan Weiss	24 Nov 2009 11:10:41
lmtest	Alan Weiss	24 Nov 2009 11:10:41
waldtest	Alan Weiss	24 Nov 2009 11:10:41
score	Alan Weiss	24 Nov 2009 11:10:41
covariance	Alan Weiss	24 Nov 2009 11:10:41

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