Nearly 90% of Recursive Models of Dynamic Linear Economies was written between 1988 and 1994, and the remaining 10% was completed in 2012, after the authors, Thomas J. Sargent and Lars Peter Hansen, ...
In this paper, the constrained M-estimation of the regression coefficients and scatter parameters in a multivariate linear regression model is considered. Robustness and asymptotic behavior are ...
Written mainly for its pedagogical interest, this note deals with the computational formulas for the recursive updating of weighted least squares parameter estimates and the residual sum of squares in ...
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