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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