ols: OLS estimation

In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

OLS estimation

Description

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, when ols is used with 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 .lm.fit function
LAPACK	deprecated and ignored
method	an integer, 1 to 6, that determines the estimation method
variance.spec	NULL or a list with items that specifies the log-variance model to be estimated, see arx
...	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.

Value

A list with items depending on method

Author(s)

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

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.

See Also

.lm.fit, qr, solve.qr, arx

gets documentation built on Sept. 11, 2024, 9:03 p.m.