The problem of near-multicollinearity revisited: Erratic vs systematic volatility

Journal of Econometrics

Volumn 108, Issue 2, 2002, Pages 365-393

  Spanos, Aris ^a   McGuirk, Anya ^a  

^a VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

Author keywords

Condition number; Erratic volatility; Ill conditioning; Near multicollinearity; Norm bounds; Statistical parameterization; Systematic volatility

Indexed keywords

DATA REDUCTION; MATHEMATICAL MODELS; MATRIX ALGEBRA; PARAMETER ESTIMATION; PROBLEM SOLVING;

CONDITION NUMBER; ERRATIC VOLATILITY; NEAR-MULTICOLLINEARITY; NORM BOUNDS; STATISTICAL PARAMETERIZATION; SYSTEMATIC VOLATILITY;

STATISTICAL METHODS;

EID: 0346724440     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00144-0     Document Type: Article

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