Mlm function

Multivariate Linear Model

Fit a multivariate multiple linear regression model via the least squares method

Mlm(y, z, constant=TRUE, output=TRUE)

Arguments

• y: data matrix of dependent variable. Each column contains one variable.
• z: data matrix of the explanatory variables. Each column contains one variable.
• constant: A logical switch for including the constant term
• output: A logical switch to print the output

Returns

• beta: coefficient matrix

• se.beta: standard errors of the coefficient matrix

• residuals: The residual series

• sigma: Residual covariance matrix

Author(s)

Ruey S. Tsay