makedata.corr: Generate Exogenous Normal Data with Specified Correlations

In desk: Didactic Econometrics Starter Kit

Generate Exogenous Normal Data with Specified Correlations

Description

This command generates a data frame of exogenous normal regression data with given correlation between the variables. This can, for example, be used for analyzing the effects of autocorrelation.

Usage

makedata.corr(n = 10, k = 2, CORR, sample = FALSE)

Arguments

n	number of observations to be generated.
k	number of exogenous variables to be generated.
CORR	(k x k) Correlation matrix that specifies the desired correlation structure of the data to be generated. If not specified a random positive definite covariance matrix will be used.
sample	logical value indicating whether the correlation structure is applied to the population (false) or the sample (true).

Value

The generated data frame of exogenous variables.

Examples

## Generate desired correlation structure
corr.mat <- cbind(c(1, 0.7),c(0.7, 1))

## Generate 10 observations of 2 exogenous variables
X <- makedata.corr(n = 10, k = 2, CORR = corr.mat)
cor(X) # not exact values of corr.mat

## Same structure applied to a sample
X <- makedata.corr(n = 10, k = 2, CORR = corr.mat, sample = TRUE)
cor(X) # exact values of corr.mat

desk documentation built on May 29, 2024, 6:05 a.m.