Eigenvalues and the condition index: diagnosing multicollinearity (Excel)

[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@user-wg7nw3mh2e]

i'm actually super interested in how you did that multiple correlation, are these correlations of each economic indicator to the entire table? i am trying to replicate this for component returns of the s&p 500 if the columns are each component and the rows are log returns how do you setup the array/index system

[@user-wg7nw3mh2e]

is it possible to cover how you did the matrix, just the excel function, i did get the index to work when i applied to s&p 500 components. i will try again but i thought it would be a good excel video also.

[@Regular.Biceps]

Your videos are diamond in the coalmine of KZbin ❤️❤️

[@surendrabarsode8959]

Excellent video. Clever hacks for calculating eigenvalues!!

[@Gggggggggg1545.7]

At the beginning I kept thinking how is he going to do this in native excel. Very clever use of excel and then graphing the function was very helpful. Thank you!

[@NEDLeducation]

Hi, and thanks so much for such kind words, appreciate your feedback!

[@r327079]

Hi Saba, Great work. I am curious about Kalman filters for pair trade. How to calculate in excel. Pl. Make vdo on that. Thanks Robin

[@NEDLeducation]

Hi Robin, and many thanks for the suggestion! I might do a video on that at some point if and when I figure out how to implement Kalman filter in Excel in an audience-friendly way.

[@r327079]

@@NEDLeducation Great .. I saw ADF in excel VDO. it is amazing ..simple and efficient. Hats off to your skills. Take Care ... Hope to see next vdo soon.

[@abhinandanchoubey9837]

You are awesome!

[@ivanklful]

Another amazing video Savva! Can the same logic be applied to time-series data? This is cross-sectional data, right?

[@NEDLeducation]

Hi Ivan, and thanks for yet another excellent question! The test is perfectly applicable to time-series data as well (same goes for the variance inflation factors or any other multicollinearity test I have covered so far).

[@muntedme203]

Can you do a vid please on Kalman filter for univariate time series prediction and smoothing. Thanks.

[@NEDLeducation]

Hi, and thanks for the suggestion! Might do a video on that at some point in the distant future if I figure out how to implement that in Excel in an audience-friendly format.