Re: [Gretl-users] Multiple Linear Regression
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