gls.m

GNU Octave is a high-level language, primarily intended for numerical computations. It provides a c

## Copyright (C) 1996 John W. Eaton
##
## This file is part of Octave.
##
## Octave is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
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## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with Octave; see the file COPYING.  If not, write to the Free
## Software Foundation, 59 Temple Place - Suite 330, Boston, MA
## 02111-1307, USA.

## usage: [BETA, v [,R]] = gls (Y, X, O)
##
## Generalized Least Squares (GLS) estimation for the multivariate model
##
##   Y = X*B + E,  mean(E) = 0,  cov(vec(E)) = (s^2)*O
##
## with Y ...  T x p      As usual, each row of Y and X is an observation
##      X ...  T x k      and each column a variable.
##      B ...  k x p
##      E ...  T x p
##      O ... Tp x Tp.
##
## BETA is the GLS estimator for B.
## v is the GLS estimator for s^2.
## R = Y - X*BETA is the matrix of GLS residuals.

## Author: Teresa Twaroch <[e-mail]>
## Created: May 1993
## Adapted-By: jwe

function [BETA, v, R] = gls (Y, X, O)

  if (nargin != 3)
    usage ("[BETA, v [, R]] = gls (Y, X, O)");
  endif

  [rx, cx] = size (X);
  [ry, cy] = size (Y);
  if (rx != ry)
    error ("gls: incorrect matrix dimensions");
  endif

  O = O^(-1/2);
  Z = kron (eye (cy), X);
  Z = O * Z;
  Y1 = O * reshape (Y, ry*cy, 1);
  U = Z' * Z;
  r = rank (U);

  if (r == cx*cy)
    B = inv (U) * Z' * Y1;
  else
    B = pinv (Z) * Y1;
  endif

  BETA = reshape (B, cx, cy);
  R = Y - X * BETA;
  v = (reshape (R, ry*cy, 1))' * (O^2) * reshape (R, ry*cy, 1) / (rx*cy - r);

endfunction