The problem of near-multicollinearity revisited: erratic vs systematic volatility.

DOI10.1016/S0304-4076(01)00144-0zbMath1043.62061MaRDI QIDQ1867728

Aris Spanos, Anya Mcguirk

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

condition number; ill-conditioning; norm bounds; erratic volatility; near-multicollinearity; statistical parameterization; systematic volatility

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62J20: Diagnostics, and linear inference and regression

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