Will wrote...
Does anyone know if a generalised version of the Excel 2003 LINEST function
using QR decomposition is available, beyond that posted in the knowledge base
article(http://support.microsoft.com/kb/828533)? That shows the way in which
this can be done with 2 regressors but not for n regressors and I need to
know how this can be extended. Ideally, I think this should be available as a
free bug fix in Excel, as Microsoft has acknowledged that this is a bug.
Also, the Knowledge Base article doesn't show how the standard error of each
coefficient can be determined, hence it's impossible to derive the t-stats
for each coefficient.

It's fixed in the sense that if it's really important to you, you can
upgrade to Excel 2003 (or 2004 for Macs). There's not going to be a
free fix for earlier versions of Excel.

As for the QR decomposition, it's an explanation of how it works. From
skimming it, it could be extended to more than two independent (X)
variables *if* you know the underlying linear algebraic equations. If
you don't, you shouldn't be messing with this.