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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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    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, December.
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    More about this item

    Keywords

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    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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