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

Author

Listed:
  • Evens SALIES

    (University of Paris I - Panthéon Sorbonne)

Abstract

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

Suggested Citation

  • Evens SALIES, 2004. "On the stability of recursive least squares in the Gauss-Markov model," Econometrics 0410007, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpem:0410007
    Note: Type of Document - pdf; pages: 4
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0410/0410007.pdf
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    References listed on IDEAS

    as
    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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    More about this item

    Keywords

    Linear Regression Model; Recursive Least Squares;

    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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