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rnorm
2012 Mar 15
6
Generation of correlated variables
Hi everyone.
Based on a dependent variable (y), I'm trying to generate some independent
variables with a specified correlation. For this there's no problems.
However, I would like that have all my "regressors" to be orthogonal (i.e.
no correlation among them.
For example,
y = x1 + x2 + x3 where the correlation between y x1 = 0.7, x2 = 0.4 and x3 =
0.8. However, x1, x2 and x3