OLS estimation
ols.Rd
OLS estimation with the QR decomposition and, for some options, computation of variance- covariance matrices
Usage
ols(y, x, untransformed.residuals=NULL, tol=1e-07, LAPACK=FALSE, method=3,
variance.spec=NULL, ...)
Arguments
- y
numeric vector, the regressand
- x
numeric matrix, the regressors
- untransformed.residuals
NULL
(default) or, whenols
is used withmethod=6
, a numeric vector containing the untransformed residuals- tol
numeric value. The tolerance for detecting linear dependencies in the columns of the regressors, see the
qr
function. Only used ifLAPACK
isFALSE
- LAPACK
logical,
TRUE
orFALSE
(default). If true use LAPACK otherwise use LINPACK, see theqr
function- method
an integer, 1 to 6, that determines the estimation method
- variance.spec
NULL
or alist
with items that specifies the log-variance model to be estimated, seearx
- ...
further arguments (currently ignored)
Details
method = 1
or method = 2
only returns the OLS coefficient estimates together with the QR-
information, the former being slightly faster. method=3
returns, in addition, the ordinary variance-covariance matrix of the OLS estimator. method=4
returns the White (1980) heteroscedasticity robust variance-covariance matrix in addition to the information returned by method=3
, whereas method=5
does the same except that the variance-covariance matrix now is that of Newey and West (1987). method=6
undertakes OLS estimation of a log-variance model, see Pretis, Reade and Sucarrat (2018, Section 4). Alternatively, for method
1 to 5, a log-variance model is also estimated if variance.spec
is not NULL
.
References
W. Newey and K. West (1987): 'A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix', Econometrica 55, pp. 703-708.
F. Pretis, J. Reade and G. Sucarrat (2018): 'Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks', Journal of Statistical Software 86, Issue 3, pp. 1-44, DOI: https://doi.org/10.18637/jss.v086.i03
H. White (1980): 'A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity', Econometrica 48, pp. 817-838.
Author
Genaro Sucarrat, http://www.sucarrat.net/