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On the stability of recursive least squares in the Gauss-Markov model

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Author Info
Evens SALIES (University of Paris I - Panthéon Sorbonne)

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Abstract

This exercice provides all eigenvalues and eigenvectors of the autoregressive matrix found in classical recursive least square theory.

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File URL: http://129.3.20.41/eps/em/papers/0410/0410007.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0410007.

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Length: 4 pages
Date of creation: 18 Oct 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0410007

Note: Type of Document - pdf; pages: 4
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Web page: http://129.3.20.41

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Related research
Keywords: Linear Regression Model; Recursive Least Squares;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: 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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  1. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x.
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Statistics
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This page was last updated on 2009-11-20.

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