/*
** Lesson 5.2: Theil's Measure of Multicollinearity 
*/
use gpe2;
output file = gpe\output5.2 reset;
load data[17,7] = gpe\longley.txt;
data = data[2:17,.];
year = data[.,1];
pgnp = data[.,2];
gnp = data[.,3];
af = data[.,5];               
em = data[.,7];
call reset;
_names = {"em","year","pgnp","gnp","af"};
call estimate(em,year~pgnp~gnp~af);
r2 =__r2;
call reset;
print"Partial Regression 1: EM = PGNP GNP AF";
_names = {"em","pgnp","gnp","af"};
call estimate(em,pgnp~gnp~af);
r2x1 = __r2;
print"Partial Regression 2: EM = YEAR GNP AF";
_names = {"em","year","gnp","af"};
call estimate(em,year~gnp~af);
r2x2 = __r2;
print"Partial Regression 3: EM = YEAR PGNP AF";
_names = {"em","year","pgnp","af"};
call estimate(em,year~pgnp~af);
r2x3 = __r2;
print"Partial Regression 4: EM = YEAR GNP PGNP";
_names = {"em","year","gnp","pgnp"};
call estimate(em,year~gnp~pgnp);
r2x4 = __r2;
print "Theil's Measure of Multicollinearity =";;
print r2-sumc(r2-(r2x1|r2x2|r2x3|r2x4));
end;