Grocer Function
NAME
ar1_grad - gradient for ols model with AR1 errors
CALLING SEQUENCE
[grad]=ar1_grad(param,y,x)
PARAMETERS
Input
-
param = parameter vector (k x 1)
-
y = dependent variable vector (n x 1)
-
x = explanatory variables matrix (n x m)
Output
DESCRIPTION
Evaluates minus the gradient of the log-likelihood for ols model with AR1 errors. Param(1,1) contains rho parameter.
EXAMPLE
g=ar1_grad(parm,grocer_y,grocer_x)
This example is taken from olsar1.
AUTHOR
Eric Dubois 2002