Symbolic Derivatives for Econometric Tests

Version 1.4.0.1 (34.8 KB) by Alan Weiss
How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox
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Updated 1 Sep 2016

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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.

Cite As

Alan Weiss (2024). Symbolic Derivatives for Econometric Tests (https://www.mathworks.com/matlabcentral/fileexchange/25715-symbolic-derivatives-for-econometric-tests), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.4.0.1

Updated license
1.4.0.0

Converted to a Toolbox, to enable easy installation in R2014b and later.
1.3.0.0

Updated HTML files.
1.2.0.0

Showed how to use Statistics Toolbox to compute the same test.
1.1.0.0

Changed the copyright notice and added a trademark symbol.
1.0.0.0