Hello collinearity aficionados,
I'm doing some preliminary work on revamping gretl's BKW
collinearity diagnostics, and would appreciate feedback from any
interested parties.
In git and snapshots there's now an (undocumented) built-in function
BKW() which returns a matrix and basically has the same signature as
bkw() in Lee Adkins' function package of that name -- except that in
BKW() the second (parameter-names) argument can be a string, an
array of strings, or omitted.
So far, so uninteresting. But I've also tried to build a guide to
interpretation on top of that function -- based on Lee's paper on
the subject at
https://learneconometrics.com/pdf/Collin/collin_gretl.pdf
Work in progress can be found in
http://users.wfu.edu/cottrell/tmp/bkw_read.inp # "interpreter"
http://users.wfu.edu/cottrell/tmp/bkw_enroll.inp # examples
These require current git.
Have I got this right? Could something like this be helpful?
Allin