RLS {MTS}

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