On the stability of recursive least squares in the Gauss-Markov model
This exercice provides all eigenvalues and eigenvectors of the autoregressive matrix found in classical recursive least square theory.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0410007. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.