ok, RTFM :)
i will use mols
Sorry,
Christoph
Zitat von christoph.klein(a)stud.uni-karlsruhe.de:
> hello,
>
> 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. To illustrate the problem, heres a small
> sample script:
>
> <script>
> nulldata 2
>
> matrix x={1,2,3}
> matrix y=1+2*x
>
> ols y x
> </script>
>
> this doesnt work because, x and y are matrices. 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.
>
> Thanks for your help,
> Christoph
>
