# ols: OLS estimation In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

## Description

OLS estimation with the QR decomposition and, for some options, computation of variance- covariance matrices

## Usage

 ```1 2``` ```ols(y, x, untransformed.residuals=NULL, tol=1e-07, LAPACK=FALSE, method=3, user.fun=NULL, user.options=NULL) ```

## Arguments

 `y` numeric vector, the regressand `x` numeric matrix, the regressors `untransformed.residuals` `NULL`, the default, or - when `method=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 if `LAPACK` is `FALSE` `LAPACK` logical, `TRUE` or `FALSE` (default). If true use LAPACK otherwise use LINPACK, see the `qr` function `method` an integer, 0 to 6, that determines the estimation method `user.fun` `NULL` (default) or the name (a character) of the user-defined estimator `user.options` `NULL` (default) or a list with arguments (entries) that are passed on to the user-defined function

## Details

`method = 1` or 2 only returns the OLS coefficient estimates together with the QR-information. `method = 1` is slightly faster than `method=2`. `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.

## Value

A list with items depending on the `method`

## Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

## References

H. White (1980): 'A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity', Econometrica 48, pp. 817-838.

W. Newey and K. West (1987): 'A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix', Econometrica 55, pp. 703-708.

`qr`, `solve.qr`