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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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    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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    Cited by:

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    2. Achilleas Anastasiou & Peter Hatzopoulos & Alex Karagrigoriou & George Mavridoglou, 2021. "Causality Distance Measures for Multivariate Time Series with Applications," Mathematics, MDPI, vol. 9(21), pages 1-15, October.
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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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