[R] colldiag

From: vasilis pappas <vasileios_p_at_yahoo.gr>
Date: Thu 21 Apr 2005 - 22:22:27 EST


Hello,
could anyone explain what am I doing wrong. When I use colldiag function from package perturb I get different Variance Decomposition Proportions matrix in R than in SAS, although the eigenvalues and indexes are the same. Thanks for your attention.  

Results:  

in R:

eigen(cor(indep2))

$values
[1] 4.197131e+00 6.674837e-01 9.462858e-02 4.070314e-02 5.323022e-05  

colldiag(indep2,c=T)

Condition

Index Variance Decomposition Proportions

           a b c d e

1 1.000 0.236 0.205 0.235 0.212 0.111

2 2.508 0.000 0.113 0.000 0.097 0.791

3 6.660 0.028 0.647 0.024 0.289 0.013

4 10.155 0.219 0.035 0.259 0.402 0.085

5 280.800 0.518 0.000 0.482 0.001 0.000    

while in SAS:  

    Collinearity Diagnostics (intercept adjusted)

                                                         ConditionNumber     Eigenvalue    Index

 

         1        4.19713        1.00000

         2        0.66748        2.50759

         3        0.09463        6.65986

         4        0.04070       10.15459

         5     0.00005323      280.80004

 

Collinearity Diagnostics (intercept adjusted)  

--------Proportion of Variation--------------

Number x1 x2 x3 x4 x5  

1 0.00000576 0.00617 0.00000619 0.00216 0.00612

2 5.61156E-10 0.02126 1.33053E-10 0.00617 0.27321

3 0.00002995 0.86094 0.00002767 0.13011 0.03236

4 0.00055307 0.10888 0.00070411 0.42083 0.47923

5 0.99941 0.00275 0.99926 0.44072 0.20907  


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