How to get the OLS estimate from a regression based on a vector?

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kevin cecere palazzo
编辑： Jeff Miller 2019-9-11
I have a vector y of dimension nx1. I want to get the OLS estimate of the regression of Δy on y_t-1 (t=1,2...n). How can I do it?

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回答（1 个）

Jeff Miller
Jeff Miller 2019-9-11
编辑：Jeff Miller 2019-9-11
How about this:
deltay = diff(y);
b = regress(deltay,y(1:end-1));

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