There are many different orthogonalizations
see, e. g. there:
https://software.intel.com/en-us/mkl-developer-reference-c-orthogonal-factorizations-lapack-computational-routines

Gretl provides some orthogonalizatios SVD, princomp
They serves the same purposes. It is not obvious
that it has the same method as statas orthog
The book mentioned in stata reference (Golub)
has 70 pages chapter on different orthogonalizations

Oleh

16 лютого 2018, 17:05:22, від "Marcin Błażejowski" <marcin@wrzosy.nsb.pl>:

Hi,

I tried to replicate in gretl exercise with variable orthogonalization
explained in https://www.stata.com/manuals13/rorthog.pdf
but after running the script (dataset in attachment):
<hansl>
set verbose off

list X = const length weight headroom trunk 
X_orth = qrdecomp({X})
series olength = X_orth[,2]
series oweight = X_orth[,3]
series oheadroom = X_orth[,4]
series otrunk = X_orth[,5]

ols price X --simple
ols price const olength oweight oheadroom otrunk --simple
</hansl>
the only identical coefficient is for const.

What am I doing wrong?

Regards,
Marcin

-- 
Marcin Błażejowski



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