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
grad = the gradient
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)
// taken from olsar1.