Grocer Function
NAME
ols3a - ordinary least squares
CALLING SEQUENCE
[results]=ols3a(y,x,namexos,numx,prescte,results)
PARAMETERS
Input
-
y = dependent variable vector (nobs x 1)
-
x = independent variables matrix (nobs x nvar)
-
namexos = name of the exogenous variables
-
numx = index of the chosen exogenous variables
(nobs x nvar')
-
prests = boolean equal to %T if there is a constant
among the variables
-
results = a tlist already filled with
Output
-
results = a tlist with
. results('meth') = 'ols'
. results('y') = y data vector
. results('x') = x data matrix
. results('nobs') = nobs
. results('nvar') = nvars
. results('beta') = bhat
. results('tstat') = t-stats
. results('pvalue') = pvalue of the betas
. results('resid') = residuals
. results('vcovar') = estimated variance-covariance matrix of beta
. results('sige') = estimated variance of the residuals
. results('sigu') = sum of squared residuals
. results('ser') = standard error of the regression
. results('yhat') = yhat
. results('dw') = Durbin-Watson Statistic
. results('condindex') = multicolinearity cond index
. results('prescte') = boolean indicating the presence or absence of a constant in the regression
. results('prests') = boolean indicating the presence or absence of a ts in the regression
. results('namey') = name of the endogenous variable
. results('namex') = names of the exogenous variables
. results('ym') = mean of vector y
. results('spec_test') = vector of specification tests p-values
. results('m_test') = vector of names of specification tests
. results('ym') = mean of vector y
. results('rsqr') = rsquared
. results('rbar') = rbar-squared
. results('f') = F-stat for the nullity of coefficients other than the constant
. results('pvaluef') = its significance level
AUTHOR
Eric Dubois 2002