RLS: Recursive Least Squares

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Recursive Least Squares

Description

Compute recursive least squares estimation

Usage

RLS(y, x, ist = 30, xpxi = NULL, xpy0 = NULL)

Arguments

y	data of dependent variable
x	data matrix of regressors
ist	initial number of data points used to start the estimation
xpxi	Inverse of the X'X matrix
xpy0	Initial value of X'y.

Value

beta	Time-varying regression coefficient estimates
resi	The residual series of recursive least squares estimation

Note

This function is used internally, but can also be used as a command.

Author(s)

Ruey S. Tsay

MTS documentation built on April 11, 2022, 5:07 p.m.