On Sun, 17 May 2009 christoph.klein(a)stud.uni-karlsruhe.de wrote: > for my diploma thesis I need to do an estimation of an ols > system which has not the same number of entries as my dataset. > The data is stored within a matrix... I tried to solve the > problem with an own implementation of the ols regression: > > <script> > function olsRegression(matrix y, matrix x) > matrix coff=inv(x'*x)*x'*y > > return matrix coff > end function > </script> > > The problem here is: if the data is not well behaved, x'*x > cannot be inverted. Did I miss anything in docs? Does anyone of > you have code doing ols with QR or SVD decomposition? The code > needs to run often, so calling out to R would slow down the > whole program to much.
Use the built-in function "mols" (see /Help/Function reference). This function uses Cholesky decomposition by default, but switches to QR if X'X is near-singular (since gretl 1.8.0). You can also do set svd on to ask gretl to use SVD for the mols function. Allin Cottrell
