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C++ API

: [beta, v, r] = gls (y, x, o)

Generalized least squares model.

Perform a generalized least squares estimation for the multivariate model y = x*b + e with mean (e) = 0 and cov (vec (e)) = (s^2) o, where y is a t by p matrix, x is a t by k matrix, b is a k by p matrix, e is a t by p matrix, and o is a t*p by t*p matrix.

Each row of y and x is an observation and each column a variable. The return values beta, v, and r are defined as follows.

beta

The GLS estimator for b.

v

The GLS estimator for s^2.

r

The matrix of GLS residuals, r = y - x*beta.

See also: ols.

Package: octave