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
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