The recursive algorithm is given for estimating matrix coefficients of the multivariate errors-in-variables (EIV) systems. It is shown that under mild conditions the estimate given by the algorithm converges to a limit belonging to the solution set of the Yule-Walker equation satisfied by the true coefficients of the system. The sufficient conditions guaranteeing the uniqueness of the solution to the Yule-Walker equation are given. In this case the estimate provided by the recursive algorithm is strongly consistent. (c) 2007 Elsevier Ltd. All rights reserved.