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Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in

page 12-13 of this article.

page 7-8 of this article

I have the vector error correction model (VECM) set up for the price series. But I am unable to understand how to derive the vector moving average from the VECM. Does anyone have an understanding on this, on how to compute the coefficients of VMA?

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migrated from stats.stackexchange.com Nov 8 '11 at 8:01

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You can find an R-implementation of the Hasbrouck information at: mayin.org/ajayshah/tmp/infoshare.R – user1157 Jan 13 '14 at 13:37

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