olsqr#

Purpose#

Computes OLS coefficients using QR decomposition.

Format#

b = olsqr(depvar, indepvars)#
Parameters:

  • depvar (Nx1 vector) – dependent variable

  • indepvars (NxP matrix) – independent variables

Returns:

b (Px1 vector) – least squares estimates of regression of depvar on indepvars. If depvar does not have full rank, then the coefficients that cannot be estimated will be zero.

Examples#

// Random matrices
x = rndn(4, 4);
y = rndn(4, 1);

// Solve OLS coefficient using QR decomposition
b = olsqr(y, x);

Remarks#

This provides an alternative to \(y/x\) for computing least squares coefficients.

This procedure is slower than the / operator. However, for near singular matrices it may produce better results.

The olsqr() procedure handles matrices that do not have full rank by returning zeros for the coefficients that cannot be estimated.

See also

Functions ols(), olsqr2(), orth(), qqr()

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