Abstract
Our contribution in this work is to set the directions for specialized econometric computations in a free computer algebra system, Xcas. We focus on the programming of a routine dedicated to correlation criteria for multiple regression models. We program several operations for detecting and evaluating collinearity by applying the diagnostic techniques of linear regression analysis. In order to illustrate the computational performance of our Xcas codes, we repeat most of the analysis carried out in widely used commercial software, along with some extra statistics. Xcas could constitute a supplemental tool in a collinear data study. Its use is proposed complementary to established econometric software or as substitute software.
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Notes
The selected software, Xcas, is a computer algebra system accessible to all users interested, free of any charges, available at http://www-fourier.ujf-grenoble.fr/~parisse/giac.html. Xcas is compatible with Mac OSX, Windows (except possibly for Vista) and Linux/Ubuntu.
SAS, STATA, SPSS and S-plus define the condition index as the square root of this ratio.
All files are available on request.
Due to space limitation we have omitted the relevant output in commercial software SPSS, MINITAB and STATA. These derivations are available on request.
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Halkos, G.E., Tsilika, K.D. Programming Correlation Criteria with free CAS Software. Comput Econ 52, 299–311 (2018). https://doi.org/10.1007/s10614-016-9604-1
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DOI: https://doi.org/10.1007/s10614-016-9604-1