[Gretl-devel] cnumber / multicollinearity (Lee?) (Re: Proposal for function package cleanup)

Sandro E. Monsueto monsueto at hotmail.com
Fri Jul 24 09:08:24 EDT 2015


Dears,

I developed
the cnumber function initially to facilitate my econometrics classes at UFG-Brazil.
It really is simple and to undergraduate classes. The package, I believe, has
the same functionality that the coldiag command in stata software.
Thanks for the feedback and I'm sorry for my simple English.


Sandro Eduardo Monsueto 
Universidade Federal de Goiás

Date: Mon, 13 Jul 2015 09:58:00 -0500
From: lee.adkins at okstate.edu
To: gretl-devel at lists.wfu.edu
Subject: Re: [Gretl-devel] cnumber / multicollinearity (Lee?) (Re: Proposal for function package cleanup)

OK.  I've looked at cnumber and though correctly executed, it is too limited in my opinion.  It only produces the single largest condition number (no variance decomposition) for a linear model.  Proper diagnostics for collinearity may involve the others as well.  

My other complaint is trivial: the included example excludes the intercept as a regressor.  As BKW argue, and Hill and Adkins (2001) agree (shameless plug), the intercept should ordinarily be included if the model is estimated with one .  When the intercept is included in cnumber the computations are correct.  So the function is doing what it is supposed to do,  

The proposed bkw.gfn function produces the whole set of condition numbers  and the BKW variance decompositions --without centering-- for any estimated model (linear or nonlinear) for which gretl returns a variance covariance.  

  

On Sun, Jul 12, 2015 at 9:11 PM, Lee Adkins <lee.adkins at okstate.edu> wrote:
I've got mine packaged, but haven't looked at cnumber yet and was reluctant to submit mine until I did.  Will do so tomorrow.... Thanks, Sven.....

Lee

On Sun, Jul 12, 2015 at 3:35 PM, Sven Schreiber <svetosch at gmx.net> wrote:
Am 16.06.2015 um 18:49 schrieb Sven Schreiber:



>

> 2) cnumber (Monsueto) -- maybe I'm confusing things, but could this be

> redundant when the stuff that Lee just presented at the conference is

> packaged? (I guess it could stay until then.)



Please give some feedback on whether this hunch of mine is correct. Lee,

are you planning to package your stuff and would it be a substitute

(superset in some sense) of this functionality?



Thanks,

sven







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-- 
Lee Adkins
Professor of Economics and Department Head 
Economics and Legal Studies in Business
Oklahoma State University

Email:  lee.adkins at okstate.edu
Fax: 405-744-5180
Phone: 405-744-5196
URL:  www.learneconometrics.com





-- 
Lee Adkins
Professor of Economics and Department Head 
Economics and Legal Studies in Business
Oklahoma State University

Email:  lee.adkins at okstate.edu
Fax: 405-744-5180
Phone: 405-744-5196
URL:  www.learneconometrics.com




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