[Gretl-users] Multiple Linear Regression

[Allin Cottrell]

On Tue, 31 Oct 2006, Martin Sykora wrote:

> I would be very gratefull if somebody would be so nice to point
> out to me which file in the C source-code is responsible for
> multiple linear regression computation (the coefficients) and
> the ADF (Augmented Dickey-Fullet Test). I am completely lost
> in the source code and accompanying files.

First, on multiple linear regression, there are two versions of 
the code, one using a "native" coding of the Cholesky 
decomposition (in lib/src/estimate.c) and one using the lapack 
coding of the QR decomposition (lib/src/qr_estimate.c).  The QR 
version might be easier to follow.

The key function is lsq(), which is in estimate.c.

The ADF test and related things are implemented in 
lib/src/adf_kpss.c.

> I am also only interested in using the static library part of 
> gretl, is there some usefull documentation on this (I was 
> somewhat unsuccessfull in my searches)

http://gretl.sourceforge.net/API/ might help to some extent, but 
I'm afraid this documentation is neither complete nor entirely up 
to date.  I'll try to bring it up to date soon -- making it 
reasonably complete will take longer.

Allin Cottrell