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

Evens Salies ()

Econometrics from EconWPA

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

Keywords: Linear Regression Model; Recursive Least Squares (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-10-18
Note: Type of Document - pdf; pages: 4
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0410007

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