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bkw_scale

BKW scaled multicollinearity diagnostic

CALLING SEQUENCE

[condindex]=bkw_scale(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 on studentized vectors (in order to achieve invariance with the scale of the vectors).

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_scale('x')
// In this example, 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,...

AUTHOR

Eric Dubois 2002

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