Simple econometric regression
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Hi,
I would like to perform a simple econometric regression using Matlab, but I have been struggling to do it for a few days now. Quite simply, I have a set of data for both X and Y. I would like to perform a regression of the following form: Y= BetaZero + Beta*X + ErrorTerm. Could anyone please tell me what is the right function to do so? I've been trying to accomplish that by using regress(), but I realised that it does not return the value of the constant term (aka Beta zero or alpha). Thank you very much for your help.
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Accepted Answer
Oleg Komarov
on 1 Aug 2011
Use regstats then with the same inputs:
regstats(y,x,'linear')
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Shashank Prasanna
on 12 Jan 2013
If you open up regstats or regress in MATLAB using the edit command you will see that it does the same as what you describe with \ operator. An alternative and recommended approach is the new LinearModel.fit(X,y) which will give you the result and the fit statistics. Make sure you are using MATLAB R2012a and above
More Answers (2)
Fangjun Jiang
on 1 Aug 2011
You have the right function. Just try it with three return variables.
[B,BINT,R] = REGRESS(Y,X) returns a vector R of residuals.
Read the full text of help regress
3 Comments
Oleg Komarov
on 1 Aug 2011
You have to add a column of ones for the constant. As already suggested read the documentation.
Fangjun Jiang
on 2 Aug 2011
To use regress();
x=(1:100)';
y=10+2*x+rand(100,1);
[B,BINT,ErrorTerm]=regress(y,[ones(size(x)),x]);
BetaZero=B(1)
Beta=B(2)
BetaZero =
10.6381
Beta =
1.9976
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