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incorrect results

• To: mathgroup@smc.vnet.net
• Subject: [mg11939] incorrect results
• From: "H.J. Wang" <hungjen@umich.edu>
• Date: Thu, 9 Apr 1998 00:33:47 -0400
• Organization: University of Michigan

Hi,

        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
advice!

H.J. Wang