MTS: Mlm – R documentation

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Mlm

Multivariate Linear Model

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

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

`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

`beta`	coefficient matrix
`se.beta`	standard errors of the coefficient matrix
`residuals`	The residual series
`sigma`	Residual covariance matrix

Ruey S. Tsay

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8