[R] Multivariate multiple regression

From: Iain Pardoe <ipardoe_at_lcbmail.uoregon.edu>
Date: Thu 05 May 2005 - 04:08:33 EST

I'd like to model the relationship between m responses Y1, ..., Ym and a single set of predictor variables X1, ..., Xr. Each response is assumed to follow its own regression model, and the error terms in each model can be correlated. My understanding is that although lm() handles vector Y's on the left-hand side of the model formula, it really just fits m separate lm models. What should I use to do a full multivariate analysis (as in section 7.7 of Johnson/Wichern)? Thanks.

Iain Pardoe <ipardoe@lcbmail.uoregon.edu> University of Oregon

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