ols {gets}

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