Manual Weighted Least Squares Estimation

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Chris Herdelin
Chris Herdelin 2020-6-17
评论： Chris Herdelin 2020-6-19
I have estimated WLS manually by dividing each of the coefficients by income^0.5. My question is, when I do that, does it automatically divde the constant by income^0.5? If not, how would I add 1/income^0.5 for the constant? Would I just create a variable for 1/income^2 and then add it to the matrix where I have all of my coefficents? Any help you could give would be greatly appreciated!

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回答（1 个）

Ajit Kasturi
Ajit Kasturi 2020-6-18
Assuming that you are asking whether division of each element of the matrix works, Yes it does. You can divide/add the constant (in your case it is 1/income^2) element-wise to a matrix as shown below.
Income = 2;
x= [1 2 3; 2 3 4; 4 5 6];
c= income^2;
Y=x/c;
For more information, refer the following link:
https://www.mathworks.com/help/matlab/matlab_prog/array-vs-matrix-operations.html
  2 个评论
Chris Herdelin
Chris Herdelin 2020-6-18
Thanks so much! Ok. That makes sense. Then how do I include the constatn when performing the regression mdl = fitlm(X,Y)? Doesn't the regression automatically calculate the constant? How do I incorporate the constant 1/income^2 into the regression equation? Thanks again!
Chris Herdelin
Chris Herdelin 2020-6-19
Income = 2;
x= [1 2 3; 2 3 4; 4 5 6];
c= income^2;
Y=x/c;
Error using ^ (line 51)
Incorrect dimensions for raising a matrix to a power.
Check that the matrix is square and the power is a
scalar. To perform elementwise matrix powers, use
'.^'.

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