### 25.4 Linear Least Squares

— Function File: [beta, v, r] = gls (y, x, o)

> Generalized least squares estimation for the multivariate model y = x b + e with mean (e) = 0 and cov (vec (e)) = (s^2) o, where y is a t by p matrix, x is a t by k matrix, b is a k by p matrix, e is a t by p matrix, and o is a t p by t p matrix.

> Each row of y and x is an observation and each column a variable. The return values beta, v, and r are defined as follows.

> beta
>   The GLS estimator for b.
> v
>   The GLS estimator for s^2.
> r
>   The matrix of GLS residuals, r = y - x beta.

— Function File: [beta, sigma, r] = ols (y, x)

> Ordinary least squares estimation for the multivariate model y = x b + e with mean (e) = 0 and cov (vec (e)) = kron (s, I). where y is a t by p matrix, x is a t by k matrix, b is a k by p matrix, and e is a t by p matrix.

> Each row of y and x is an observation and each column a variable.

> The return values beta, sigma, and r are defined as follows.

> beta
>   The OLS estimator for b, beta`= pinv (`x`) *` y, where `pinv (`x`)` denotes the pseudoinverse of x.
> sigma
>   The OLS estimator for the matrix s,

>                      sigma = (y-x*beta)'
>                        * (y-x*beta)
>                        / (t-rank(x))

> r
>   The matrix of OLS residuals, r`=` y`-` x`*` beta.