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bkw

BKW multicollinearity diagnostic

CALLING SEQUENCE

[condindex]=bkw(arg1,…,argn)

PARAMETERS

Input

• argi = arguments which can be:

 - a time series

 - a real (nxp) vector

 - a string equal to the name of a time series or a (nxp) real vector between quotes

 - the string 'noprint' if the user doesn't want to print the results of the regression

Output

• condindex = the condition number

DESCRIPTION

Computes and prints BKW collinearity variance-decomposition proportions 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 
bkw('x')
// This example is taken from bkw_d. Here the exogenous variables take the form of a matrix x; it is entered between quotes, so the exogenous variables will be called x_1, x_2,&#133;

AUTHOR

Eric Dubois 2002

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