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Programming Correlation Criteria with free CAS Software

Author

Listed:
  • George E. Halkos

    (University of Thessaly)

  • Kyriaki D. Tsilika

    (University of Thessaly)

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.

Suggested Citation

  • George E. Halkos & Kyriaki D. Tsilika, 2018. "Programming Correlation Criteria with free CAS Software," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 299-311, June.
    • Handle: RePEc:kap:compec:v:52:y:2018:i:1:d:10.1007_s10614-016-9604-1
    DOI: 10.1007/s10614-016-9604-1
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    References listed on IDEAS

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    1. 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.
    2. A. Merckens & P. A. Bekker, 1993. "Identification of simultaneous equation models with measurement error: a computerized evaluation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 47(4), pages 233-244, December.
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    4. Jinhu Li & Jeffrey S. Racine, 2008. "Maxima: An open source computer algebra system," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(4), pages 515-523.
    5. David A. Belsley, 1988. "A Guide to Using the Collinearity Diagnostics," Boston College Working Papers in Economics 190, Boston College Department of Economics.
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    7. Friendly, Michael & Kwan, Ernest, 2009. "Where's Waldo? Visualizing Collinearity Diagnostics," The American Statistician, American Statistical Association, vol. 63(1), pages 56-65.
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    Cited by:

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    3. Román Salmerón-Gómez & Catalina García-García & José García-Pérez, 2021. "A Guide to Using the R Package “multiColl” for Detecting Multicollinearity," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 529-536, February.
    4. Riccardo Lucchetti & Luca Pedini, 2025. "Correction to: The Spherical Parametrisation for Correlation Matrices and its Computational Advantages," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 2449-2450, April.

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    Keywords

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    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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