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Date:         Fri, 17 Apr 1998 22:42:23 +0200
Reply-To:     Carsten Hojlund <cau@bounty.hha.dk>
Sender:       "SPSSX(r) Discussion" <SPSSX-L@UGA.CC.UGA.EDU>
From:         Carsten Hojlund <cau@HHA.DK>
Organization: The Aarhus School of Business
Subject:      Leverage values

Hi everybody

I am currently working on an assignment which includes estimating an error correction model for stock prices. While validating the model I am using leverage values as described in:

Russell, Davidson & Mackinnon, James G.: Estimation and Inference in Econometrics, Oxford University Press 1993. pp32-39.

When I save the leverage values from SPSS they are not equal to the ones calculated using the method described in the book mentioned above.

Instead I am using the PROC GLM in SAS to calculate the leverage values.

I would like to know if anyone could explain how the leverage values in SPSS are calculated (The SPSS help file does not help a lot).

Thank you!

Carsten


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