How to use GLSMultipleLinearRegression

[Bharani <bh...@yahoo.com>]

I have got 3 independent variable and 1 dependent variable. Size of the
vector (n) is 200. I am trying to use GLSMultipleLinearRegression for
regression but i am not able to figure out how to get the covariance matrix
( Omega)

Thanks
Bharani
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[math]Re: How to use GLSMultipleLinearRegression

[Phil Steitz <ph...@gmail.com>]

Bharani wrote:
> I have got 3 independent variable and 1 dependent variable. Size of the
> vector (n) is 200. I am trying to use GLSMultipleLinearRegression for
> regression but i am not able to figure out how to get the covariance matrix
> ( Omega)
> 
> Thanks
> Bharani

That depends on your assumptions on the error structure of your
model.  If you believe that the errors in your model are constant
variance and uncorrelated, then you should just use ordinary least
squares (implemented by the OLSRegression class).  Otherwise, the
right choice of Omega depends on what you want to assume about how
the errors are (jointly) distributed.  See [1] for a concise
statement of the assumptions of OLS and the definition of Omega and
[2] for some common examples of assumptions and associated error
covariance matrices.  Commons math does not currently support FGLS
in the sense of [1] (i.e., we do not provide automatic estimation of
Omega for the common assumptions described in [2]).

Phil

[1] http://jackman.stanford.edu/papers/gls.pdf

[2] http://people.virginia.edu/~sns5r/classes/grad/econ772stf/gls.pdf


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