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syerramilli / R-sysid

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iv4 routine overfitting noise #19

Closed syerramilli closed 8 years ago

syerramilli commented 8 years ago

When I use the iv4 routine on a dataset whose DGP is ARMAX, my residuals have white-noise properties. This is despite the fact that an ARX model is fit.

syerramilli commented 8 years ago

The issue was caused due to computing residuals from the filtered regressor matrix instead of the regular one.