Simple econometric regression

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Marcin Kuc
Marcin Kuc 2011-8-1
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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Oleg Komarov
Oleg Komarov 2011-8-1
Use regstats then with the same inputs:
regstats(y,x,'linear')
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Oleg Komarov
Oleg Komarov 2011-8-2
It uses qr decomposition but it's pretty much the same.
Shashank Prasanna
Shashank Prasanna 2013-1-12
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

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Fangjun Jiang
Fangjun Jiang 2011-8-1
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
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Oleg Komarov
Oleg Komarov 2011-8-1
You have to add a column of ones for the constant. As already suggested read the documentation.
Marcin Kuc
Marcin Kuc 2011-8-1
I tried to understand it, but it appears to be far too complicated for typical Eviews users. I will definitely dive into it after I finish my current project.
However, I would be very grateful if you could tell me exact way of getting the constant. Thank you in advance.

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Fangjun Jiang
Fangjun Jiang 2011-8-2
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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