[Gretl-users] GUI points
cottrell at wfu.edu
Sat Nov 12 15:56:57 EST 2016
On Sat, 12 Nov 2016, Sven Schreiber wrote:
> Am 11.11.2016 um 04:28 schrieb Allin Cottrell:
>> Announcement: Following some off-list discussion, there's now a new item
>> in the right-click menu when you have two or more series selected in the
>> main gretl window, namely a check on collinearity, in the form of the
>> condition number of a matrix composed of those series. (You get the
>> choice of including a constant in the matrix.)
> Thanks for this feature.
> Before it's released, let me just ask whether this output might instead be
> added to the output of "correlation matrix" in the same context menu.
> Correlation is also a measure of linear association, and so it would feel
> like a natural place IMO.
> This would save the extra entry in the context menu, and instead of asking
> the user whether or not to include a constant term, both variants could just
> be printed out simultaneously. (Currently there's only a few lines of output
> in the window when one selects "correlation matrix".)
I'd prefer not to do that; more below.
> While we're on the subject of the condition number and collinearity, I have a
> question about the following example: Open the example data hall.gdt and
> select the two variables "consrat" and "ewr"; the correlation output (again,
> right-click and then select from the context menu) then shows a corr coeff of
> just 0.16. The new collinearity analysis gives a whopping 634, an order of
> magnitude greater than the rule-of-thumb value 50. The bkw.gfn package
> confirms this value.
> This strikes me as qualitatively very different, and spontaneously I'm not
> sure why that is so. Any ideas?
The Pearson correlation coefficient is undefined if one or both of
the terms are constants. However, the Belsley condition number can
handle a constant, and presumably the big condition number in the
example you describe (but note, only when you include a constant) is
due to the fact that consrat itself is almost a constant. So these
are rather different calculations (although certainly related), and
I'd rather keep them distinct.
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