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Eigenvalues and the condition index: diagnosing multicollinearity (Excel) 

NEDL
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How might one detect multicollinearity in a regression model? One of the most informative ways of looking at the multicollinearity structure and severity is to calculate the eigenvalues and the condition index of the correlation matrix between explanatory variables. However, this can be computationally challenging. Today, we are tackling eigenvalue calculation and its interpretation for multicollinearity and regression model quality in Excel.
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9 май 2022

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Комментарии : 15   
@NEDLeducation
@NEDLeducation 2 года назад
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
@user-wg7nw3mh2e
@user-wg7nw3mh2e 2 года назад
i'm actually super interested in how you did that multiple correlation, are these correlations of each economic indicator to the entire table? i am trying to replicate this for component returns of the s&p 500 if the columns are each component and the rows are log returns how do you setup the array/index system
@user-wg7nw3mh2e
@user-wg7nw3mh2e 2 года назад
is it possible to cover how you did the matrix, just the excel function, i did get the index to work when i applied to s&p 500 components. i will try again but i thought it would be a good excel video also.
@Regular.Biceps
@Regular.Biceps Год назад
Your videos are diamond in the coalmine of RU-vid ❤️❤️
@surendrabarsode8959
@surendrabarsode8959 2 года назад
Excellent video. Clever hacks for calculating eigenvalues!!
@Gggggggggg1545.7
@Gggggggggg1545.7 2 года назад
At the beginning I kept thinking how is he going to do this in native excel. Very clever use of excel and then graphing the function was very helpful. Thank you!
@NEDLeducation
@NEDLeducation 2 года назад
Hi, and thanks so much for such kind words, appreciate your feedback!
@abhinandanchoubey9837
@abhinandanchoubey9837 2 года назад
You are awesome!
@r327079
@r327079 2 года назад
Hi Saba, Great work. I am curious about Kalman filters for pair trade. How to calculate in excel. Pl. Make vdo on that. Thanks Robin
@NEDLeducation
@NEDLeducation 2 года назад
Hi Robin, and many thanks for the suggestion! I might do a video on that at some point if and when I figure out how to implement Kalman filter in Excel in an audience-friendly way.
@r327079
@r327079 2 года назад
@@NEDLeducation Great .. I saw ADF in excel VDO. it is amazing ..simple and efficient. Hats off to your skills. Take Care ... Hope to see next vdo soon.
@muntedme203
@muntedme203 2 года назад
Can you do a vid please on Kalman filter for univariate time series prediction and smoothing. Thanks.
@NEDLeducation
@NEDLeducation 2 года назад
Hi, and thanks for the suggestion! Might do a video on that at some point in the distant future if I figure out how to implement that in Excel in an audience-friendly format.
@ivanklful
@ivanklful 2 года назад
Another amazing video Savva! Can the same logic be applied to time-series data? This is cross-sectional data, right?
@NEDLeducation
@NEDLeducation 2 года назад
Hi Ivan, and thanks for yet another excellent question! The test is perfectly applicable to time-series data as well (same goes for the variance inflation factors or any other multicollinearity test I have covered so far).
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