How to get the OLS estimate from a regression based on a vector?
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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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Jeff Miller
on 11 Sep 2019
Edited: Jeff Miller
on 11 Sep 2019
How about this:
deltay = diff(y);
b = regress(deltay,y(1:end-1));
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