[Gretl-users] Re: Gretl: correlations

On 31/05/2024 20:43, Allin Cottrell wrote: > On Fri, 31 May 2024, Sven Schreiber wrote: > >> Notice that in the dialog window there's a tick box saying >> "ensure uniform sample". And the results differ depending on >> whether you tick the box or not. > > Right, we calculate each pairwise correlation on the maximum > available number of observations for the two series unless that > box is ticked -- which corresponds to giving the --uniform option > with the "corr" command.

This is certainly useful, and I don't mean in any way to suggest we shouldn't do it, but users should be aware of the fact the the collection of individual correlation coefficients computed in this way may end up being an invalid correlation matrix, because it may violate the positive-semidefiniteness requirement. [...]