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We can do something about multicollinearity |
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| Authors: | R.E. Kalman |
| Affiliation: | 1. Swiss Federal Institute of Technology , Zurich, Switzerland;2. University of Florida , Gainesville, FL, USA |
| Abstract: | The problem of multicollinearity is discussed from the point of view of the FRISCH scheme. The theoretical machinery is applied to a reanalysis of macro-economic data for the French and US economies |
| Keywords: | regression realization theory prejudice econometrics |