Greetings, 

MATLAB has built in functions in its toolbox to estimate ARMA/GARCH 
parameteres once a model is specified (garchfit). It also tells me that it is 
using Maximum Likelihood Estimataion procedure, and it seems to do it 
very fast. I am curious, if anybody knows such detail, whether it is 
doing an MLE estimation with i.i.d. assumption (which is clearly 
false), or does it actually do the recursive factorization of joint 
pdf? 

Thanks in advance 

Hello,

I think you should check the info pages on the Mathworks
website about the Econometrics Toolbox. You can download
pdf's with a lot of information about the toolbox and the 
computational details. I was curious...it seems to be
a nonlinear programming approach with iterative
nature. Check it out for sure!

No thanks,
Pieter chys.

"Cagdas Ozgenc" <cagdasozgenc@hotmail.com> wrote in message <i7sohc$ns7$1@fred.mathworks.com>...
> Greetings, 
> 
> MATLAB has built in functions in its toolbox to estimate ARMA/GARCH 
> parameteres once a model is specified (garchfit). It also tells me that it is 
> using Maximum Likelihood Estimataion procedure, and it seems to do it 
> very fast. I am curious, if anybody knows such detail, whether it is 
> doing an MLE estimation with i.i.d. assumption (which is clearly 
> false), or does it actually do the recursive factorization of joint 
> pdf? 
> 
> Thanks in advance 

"Pieter Chys" <pieter@cib.csic.es> wrote in message <i87s2s$64p$1@fred.mathworks.com>...
> Hello,
> 
> I think you should check the info pages on the Mathworks
> website about the Econometrics Toolbox. You can download
> pdf's with a lot of information about the toolbox and the 
> computational details. I was curious...it seems to be
> a nonlinear programming approach with iterative
> nature. Check it out for sure!
> 
> No thanks,
> Pieter chys.

I have checked already. Cannot find details regarding the estimation procedure. 

This section of the documentation explains the MLE calculation:

http://www.mathworks.com/help/toolbox/econ/f1-80052.html

  Best,

  Bill Mueller
  Econometrics Toolbox Team

Now I am also interested in the Econometrics Toolbox. Do you know how to construct impulse response and variance decomposition when dealing with multivariate time series such as VAR or VARMA?
Thanks in advance.