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Measures of correlation and computer algebra

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  • Halkos, George
  • Tsilika, Kyriaki

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. Xcas could constitute a supplemental tool in a collinear data study. Its use is proposed complementary to established econometric software or as substitute software.

Suggested Citation

  • Halkos, George & Tsilika, Kyriaki, 2016. "Measures of correlation and computer algebra," MPRA Paper 70200, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:70200
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    References listed on IDEAS

    as
    1. Kendrick, David A & Amman, Hans M, 1999. "Programming Languages in Economics," Computational Economics, Springer;Society for Computational Economics, vol. 14(1-2), pages 151-181, October.
    2. George Halkos & Kyriaki Tsilika, 2015. "Programming Identification Criteria in Simultaneous Equation Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 157-170, June.
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    More about this item

    Keywords

    Multicollinearity; correlation criteria; computational econometrics; CAS software.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software

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