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

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

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;

EID: 0346724440     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00144-0     Document Type: Article
Times cited : (39)

References (18)
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    • Farrar D.E., Glauber R.R. Multicollinearity in regression analysis: the problem revisited. Review of Economics and Statistics. 49:1967;92-107.
    • (1967) Review of Economics and Statistics , vol.49 , pp. 92-107
    • Farrar, D.E.1    Glauber, R.R.2
  • 9
    • 0002769262 scopus 로고
    • Byulleten Moskovskogo Gos. Univ. Mat.
    • Kolmogorov, A.N., 1941. Stationary sequences in Hilbert space. Byulleten Moskovskogo Gos. Univ. Mat. 2, 1-40. (English translation published in Shiryayev, A.N., ed., 1992. Selected works of A.N. Kolmogorov, Vol. II: Probability Theory and Mathematical Statistics, Kluwer, Dordrecht.
    • (1941) Stationary Sequences in Hilbert Space , vol.2 , pp. 1-40
    • Kolmogorov, A.N.1
  • 10
    • 0007679582 scopus 로고
    • Probability Theory and Mathematical Statistics, Kluwer, Dordrecht
    • Kolmogorov, A.N., 1941. Stationary sequences in Hilbert space. Byulleten Moskovskogo Gos. Univ. Mat. 2, 1-40. (English translation published in Shiryayev, A.N., ed., 1992. Selected works of A.N. Kolmogorov, Vol. II: Probability Theory and Mathematical Statistics, Kluwer, Dordrecht.
    • (1992) Selected Works of A.N. Kolmogorov , vol.2
    • Shiryayev, A.N.1
  • 16
    • 0039234548 scopus 로고
    • Early empirical findings on the consumption function, stylized facts or fiction: A retrospective view
    • Spanos A. Early empirical findings on the consumption function, stylized facts or fiction: a retrospective view. Oxford Economic Papers. 41:1989;150-169.
    • (1989) Oxford Economic Papers , vol.41 , pp. 150-169
    • Spanos, A.1
  • 17
    • 0346978416 scopus 로고
    • On Normality and the Linear Regression model
    • Spanos A. On Normality and the Linear Regression model. Econometric Reviews. 14(2):1995;195-203.
    • (1995) Econometric Reviews , vol.14 , Issue.2 , pp. 195-203
    • Spanos, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.