Mlm: Multivariate Linear Model

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Multivariate Linear Model

Description

Fit a multivariate multiple linear regression model via the least squares method

Usage

Mlm(y, z, constant=TRUE, output=TRUE)

Arguments

y	data matrix of dependent variable. Each column contains one variable.
z	data matrix of the explanatory variables. Each column contains one variable.
constant	A logical switch for including the constant term
output	A logical switch to print the output

Value

beta	coefficient matrix
se.beta	standard errors of the coefficient matrix
residuals	The residual series
sigma	Residual covariance matrix

Author(s)

Ruey S. Tsay

MTS documentation built on April 11, 2022, 5:07 p.m.