Re: [Gretl-users] eigen values

On Mon, 18 Feb 2008, Talha Yalta wrote: > While preparing the notes for my econometrics class, I noticed that > for Table_10.5.gdt from the Gujarati dataset, Gujarati reports that > the Condition Index is found by SAS as \sqrt{3.0/0.00002422} (the > squareroot of the biggest eigenvalue divided by the smallest) > > When I choose from the menu: View--Principal components, I see the > eigen values reported as 2.9720 and 0.0009 (instead of 0.00002422) > > Can this be due to an accuracy error? Yes: the inaccuracy consists in using the wrong dataset, and not taking logs ;-) If you look carefully at Appendix 7A.5 you'll see that the SAS output is based on data from Table_7.3.gdt, with logs taken of all variables. Repeat what Jack suggested with the right data open Table_7.3.gdt logs Y X2 X3 ols l_Y 0 l_X2 l_X3 matrix X = { const l_X2 l_X3 } l = sqrt(diag(X'X)) matrix X = X ./ l' l = eigensym(X'X, null) CN = maxc(l)/minc(l) printf "CN = %g, (square root = %g)\n", CN, sqrt(CN) and you'll find the same results as given by SAS (apart from the slightly inaccurate reporting of the largest eigenvalue as 3.0 in Gujarati, rather than 2.9996). Allin. _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users