Computes the ordinary least squares coefficients.
Usage
ols(X, Y, return_se = FALSE)
Arguments
- X
(matrix): n x p matrix of covariates.
- Y
(vector): p-vector of outcome values.
- return_se
(bool, optional): Whether to return the standard errors of
the coefficients.
Value
(list): A list containing the following:
- theta
(vector): p-vector of ordinary least squares estimates of
the coefficients.
- se
(vector): If return_se == TRUE, return the p-vector of
standard errors of the coefficients.
Examples
n <- 1000
X <- rnorm(n, 1, 1)
Y <- X + rnorm(n, 0, 1)
ols(X, Y, return_se = TRUE)
#> $theta
#> X
#> 0.9923938
#>
#> $se
#> X
#> 0.02339482
#>