[Gretl-users] Multiple Linear Regression

[Martin Sykora]

Thanks very much for your help Allin!

best regards, Martin

Quoting Allin Cottrell <cottrell at wfu.edu>:

> 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
>
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----------------------------
BSc. Martin Sykora | (0044) 07813842367
Computer Science PhD Student
Loughborough University