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Multivariate Linear Regression

Posted 10 years ago

Is it possible to run an OLS regression of a matrix "Y" (T x n) on another matrix "X" (T x k) in Mathematica?

This would be the same as implementing all the regressions of the dependent variables in "Y" matrix on independent variables in "X" at the same time, which I think would be more efficient than doing the n regressions separately.

POSTED BY: Sandu Ursu
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