Performing regression using R & C
Is it possible to perform OLS using C code? I am trying to optimize a n-period "moving window" OLS on a huge dataset hence was wondering if such a thing is possible. Ideally the solution that I am looking for would involve a C-code accepting two float arrays and returning back computed parameters such as t-stat, coefficient etc.
It is probably not worth trying to call R to do OLS from C. I would look at GSL: http://www.gnu.org/software/gsl/manual/gsl-ref_toc.html GSL has a simple but elegant C interface for doing OLS and weighted least squares. It will give you the covariance matrix of the model parameters, from which you can derive t-stats. Jim M