MATLAB: Estimating multiple parameters from a regression

regression

Dear all,
I have this regression model
fy=randn(1000,1);
x1=randn(1000,1);
x2=randn(1000,1);
u=randn(1000,1);
fy=a*x1+b*x2+c*u; %regression model
where fy is the dependent variable,
x1 and x2 are the independent variables,
u is the error term which is standard normally distributed,
a and b are the coefficients
and c is the square root of the variance.
My goal is to estimate the scalars a,b and c. Is there a way to do that?

Best Answer

  • That is a simple linear regression.
    Try this:
    B = [x1 x2 u] \ fy;
    a = B(1)
    b = B(2)
    c = B(3)