[S] recursive least squares?

Roger Koenker (roger@ysidro.econ.uiuc.edu)
Wed, 2 Dec 1998 08:51:55 -0600 (CST)

Can someone suggest an efficient S-way to compute recursive least
squares estimates, i.e.,

p <- ncol(X)+1
T <- nrow(X)
bhat <- matrix(0,p,T)
for(t in (p+1):T){
bhat[,t] <- lm(y[1:t]~X[1:t,])$coef

I thought that there was a clever QR-decomposition trick...but I can't
seem to find it.

url: http://www.econ.uiuc.edu Roger Koenker
email roger@ysidro.econ.uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820

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