R/hello.R

In JingyiChen1996/Linreg:

linmodEst <- function(x, y) {
  coef <- solve(t(x) %*% x) %*% t(x) %*% y
  ## degrees of freedom and standard deviation of residuals
  df <- nrow(x) - ncol(x)
  sigma2 <- sum((y - x %*% coef) ^ 2) / df
  ## compute sigma^2 * (x’x)^-1
  vcov <- sigma2 * solve(t(x) %*% x)
  colnames(vcov) <- rownames(vcov) <- colnames(x)
  list(
    coefficients = coef,
    vcov = vcov,
    sigma = sqrt(sigma2),
    df = df
  )
}