P-values for mvregress

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ace327
ace327 2014 年 12 月 10 日
編集済み: Roger Wohlwend 2014 年 12 月 11 日
I am running mvregress on a few regressors and I was able to get a beta value (or regression coefficient) for each of the regressors. However, I can't seem to produce the p-value that is associated with each beta. Is there a way to get standard errors and p-values for all the beta values when running multivariate regression? Am I not using the right function?
Thanks

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Roger Wohlwend
Roger Wohlwend 2014 年 12 月 11 日
編集済み: Roger Wohlwend 2014 年 12 月 11 日
[beta,Sigma,E,CovB] = mvregress(X,Y)
The fourth output (CovB) is the covariance matrix of the coefficient. You can use that matrix to compute the standard errors.
Errors = sqrt(diag(CovB))

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