parcorHijk: Generalized partial correlation coefficients between Xi and...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Generalized partial correlation coefficients between Xi and Xj, after removing the effect of Xk, via OLS regression residuals.

Description

This function uses data on two column vectors, xi, xj, and a third set xk, which can be a vector or a matrix. xk usually has the remaining variables in the model, including control variables, if any. This function first removes missing data from all input variables. Then, it computes residuals of OLS (no kernel) regression (xi on xk) and (xj on xk). This hybrid version uses both OLS and then generalized correlation among OLS residuals. This solves the potential problem of having too little information content in kernel regression residuals, since kernel fits are sometimes too close, especially when there are many variables in xk.

Usage

parcorHijk(xi, xj, xk)

Arguments

xi	Input vector of data for variable xi
xj	Input vector of data for variable xj
xk	Input data for all variables in xk, usually control variables

Value

ouij	Generalized partial correlation Xi with Xj (=cause) after removing xk
ouji	Generalized partial correlation Xj with Xi (=cause) after removing xk

allowing for control variables.

Note

This function calls kern,

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY.

See Also

See parcor_ijk.

Examples

## Not run: 
set.seed(34);x=matrix(sample(1:600)[1:99],ncol=3)
options(np.messages=FALSE)
parcorHijk(x[,1], x[,2], x[,3])

## End(Not run)#' 

generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.