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
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)
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.