Mlm {MTS}

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