I wish to perform a Wald test on a VAR model and I need the parameter covariance estimate. On the page http://de.mathworks.com/help/econ/model-comparison-tests.html I read the following: "The estimation function for multivariate models, vgxvarx, returns the expected Hessian variance-covariance matrix". However, I can only find the standard errors in EstStdErrors. How to get the expected Hessian variance-covariance matrix from vgxvarx?
MATLAB: How to get the expected Hessian variance-covariance matrix from vgxvarx
Econometrics Toolboxhessian variance-covariance matrixvgxvarx
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