bkw_scale Econometric tests and diagnostics bpagan

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bkwols

BKW scaled multicollinearity diagnostic

CALLING SEQUENCE

[condindex]=bkwols(arg1,…,argn)

PARAMETERS

Input

• x = independent variables matrix (nobs x nvar)

Output

• condindex = the condition number

DESCRIPTION

Computes BKW COND index of a x matrix (with variables studentized to achieve invariance with respect to their scale). Contrary to bkw_scale, this function does not provide the variance-decomposition matrix.

EXAMPLE

x = grand(200,5,'nor',0,1);
x(:,1) = ones(200,1);
x(:,3) = x(:,2) + grand(200,1,'nor',0,1)*0.05;
// create multioncolinearity between columns 2 and 3 
condindex=bkwols(x)
// Useful mainly for programming purpose (since bkw does much more).

AUTHOR

Eric Dubois 2002/Emmanuel Michaux 2005
bkw_scale Econometric tests and diagnostics bpagan