Collinearity Diagnostics in gretl

Lee Adkins, Melissa Waters () and Carter Hill
Additional contact information
Melissa Waters: Southern University

No 1506, Economics Working Paper Series from Oklahoma State University, Department of Economics and Legal Studies in Business

Abstract: Collinearity is blamed for all sorts of trouble in empirical work: inconclusive or weak results, unexpected signs on coefficients, and general computational mayhem in nonlinear estimators. Collinearity is a matter of degree since perfect col linearity has a perfectly easy solution. Near perfect col linearity can be vexing however since it makes precise measurement of model parameters particularly difficult in some cases. A number of methods for detecting col-linearity have been proposed. Some of these are useful, others not. Hill and Adkins (2001) summarize the good and bad based on much of the relevant literature up to 2001. They also make some recommendations for the detection and amelioration of inadequate variation in the data. The purpose of our paper is twofold: 1) update any significant cant findings on col-linearity since the Hill and Adkins (2001) survey and 2) to write and document gretl functions that perform several regression diagnostic procedures not already present in the software. These include the diagnostics suggested in Hill and Adkins (2001). In particular, we introduce hansl routines to perform the variance decomposition of Belsely, Kuh, and Welch (1980) for both linear and nonlinear models and provide a function to compute critical values for the Belsley (1982) signal-to-noise ratio test. The use of these is explored in several examples.

Keywords: collinearity; gretl (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2015-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://business.okstate.edu/site-files/docs/ecls-working-papers/OKSWPS1506.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:okl:wpaper:1506

Access Statistics for this paper

More papers in Economics Working Paper Series from Oklahoma State University, Department of Economics and Legal Studies in Business Contact information at EDIRC.
Bibliographic data for series maintained by Harounan Kazianga ().