[B,BStd,E,EStd,YFit,Range,BCov] = regress(Y,X)
[B,BStd,E,EStd,YFit,Range,BCov] = regress(Y,X,Range,...)
Y
[ tseries ] - Tseries object with independent (LHS) variables.
X
[ tseries] - Tseries object with regressors (RHS) variables.
Range
[ numeric ] - Date range on which the regression will be run; if not specified, the entire range available will be used.
B
[ numeric ] - Vector of estimated regression coefficients.
BStd
[ numeric ] - Vector of std errors of the estimates.
E
[ tseries ] - Tseries object with the regression residuals.
EStd
[ numeric ] - Estimate of the std deviation of the regression residuals.
YFit
[ tseries ] - Tseries object with fitted LHS variables.
Range
[ numeric ] - The actually used date range.
bBCov
[ numeric ] - Covariance matrix of the coefficient estimates.
'constant='
[ true
| false
] - Include a constant vector in the regression; if true the constant will be placed last in the matrix of regressors.
'weighting='
[ tseries | empty ] - Tseries object with weights on the observations in the individual periods.
This function calls the built-in lscov
function.