I used David Belsely's Econometrics.m package --available from
MathSource as well as in the book "Economic and Financial Modeling with
Mathematica"-- to do some very simple Ordinary Least Square (OLS)
regressions. However, using a small data set I found that the returned
answer is very different from other statistical packages such as Stata
or SAS. I then wrote my own OLS program in Mathematica, which is
simply (X'X)^(-1) (X'y) where X are Nxk independent variable matrix and
y is a Nx1 vector. The result is the same as that from Belsely's
program, which means it is very different from other packages' results.
I am wondering how this would happen. Does it have something to
do with the working precision? If so, how could I make the adjustment?
I am using Mathematica 3.0 in Win95. Thank you in advance for any
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