On the stability of recursive least squares in the Gauss-Markov model
AbstractThis exercice provides all eigenvalues and eigenvectors of the autoregressive matrix found in classical recursive least square theory.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0410007.
Length: 4 pages
Date of creation: 18 Oct 2004
Date of revision:
Note: Type of Document - pdf; pages: 4
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Linear Regression Model; Recursive Least Squares;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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- Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, June.
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