RLS function

Recursive Least Squares

Compute recursive least squares estimation

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.

Returns

• beta: Time-varying regression coefficient estimates

• resi: The residual series of recursive least squares estimation

Author(s)

Ruey S. Tsay

Note

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