R/tvslm.r

In TVSjoberg/tvsmath3426: Linear regression, alternative to lm()

tvslm <- function(y, X){
  y <- matrix(y)
  X <- as.matrix(X)

  X <- cbind(intercept = rep(1,length(y)),X)
  pred <- (solve(t(X)%*%X))%*%t(X)%*%y
  fit <- X %*% pred
  resid <- y - fit #booot
  se_temp <- sqrt(diag(as.numeric((t(resid)%*%resid)/(nrow(X)-ncol(X)))*(solve(t(X)%*%X))))
  tstattemp <- pred/se_temp #test

  me <- list(
    predictors = pred,
    SE = se_temp,
    fitted.values = fit,
    residuals = resid,
    t.stat = tstattemp,
    p = 2*(1-pt(abs(tstattemp),(nrow(X)-ncol(X))))
  )


  class(me) <- append(class(me), "tvslm")
  return(me)
}