Ordinary Least Squares (OLS)
- Note
- This tool is part of the GAMS Tools Library. Please inspect the general information about GAMS Tools.
This estimates the unknown parameters in a linear regression model. The set i
are the observations, the set p
are the estimates. The matrix A(i,p)
contains the explanatory variable and y(i)
the dependent variable. On return the symbol estimate(p)
will contain the estimated statistical coefficients. Other statistical information parameters are available.
Usage
Command line:
gamstool [linalg.]OLS i p A y est [covar=id] [df=id] [fitted=id] [r2=id] [resid=id] [resvar=id] [rss=id] [se=id] [sigma=id] [tval=id] gdxIn=fileIn.gdx gdxOut=fileOut.gdx
Compile time:
$callTool [linalg.]OLS i p A y est [covar=id] [df=id] [fitted=id] [r2=id] [resid=id] [resvar=id] [rss=id] [se=id] [sigma=id] [tval=id] [gdxIn=fileIn.gdx] [gdxOut=fileOut.gdx]
Execution time:
executeTool '[linalg.]OLS i p A y est [covar=id] [df=id] [fitted=id] [r2=id] [resid=id] [resvar=id] [rss=id] [se=id] [sigma=id] [tval=id] [gdxIn=fileIn.gdx] [gdxOut=fileOut.gdx]';
Where:
Argument Description i
Name of set of observations i(*)
.p
Name of set of estimates p(*)
.A
Name of two-dimensional explanatory variable matrix A(i,p)
.y
Name of one-dimensional dependent variable y(i)
.est
Name of one-dimensional estimated statistical coefficients est(p)
.
The following names parameters are available:
Parameter Description covar=id
Statistical info: variance-covariance matrix CoVar(p,p)
df=id
Statistical info: degrees of freedom (scalar)
fitted=id
Statistical info: fitted values for dependent variable fitted(i)
r2=id
Statistical info: R squared (scalar)
resid=id
Statistical info: residuals resid(i)
resvar=id
Statistical info: residual variance (scalar)
rss=id
Statistical info: residual sum of squares (scalar)
se=id
Statistical info: standard errors se(p)
sigma=id
Statistical info: standard error (scalar)
tval=id
Statistical info: standard errors se(p)
gdxIn=fileIn.gdx
Name of GDX file that contains symbols i
,p
,A
, andy
. Mandatory if called from the command line, otherwise optional.gdxOut=fileOut.gdx
Name of GDX file that contains symbol est
and statistical information parameters after execution. Mandatory if called from the command line, otherwise optional.
Example
For an example see model [LeastSquares] in the GAMS Data Utilities Library.