[R] Multivariate multiple regression

[Iain Pardoe]

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 at lcbmail.uoregon.edu>
University of Oregon