Date: Fri, 17 Apr 1998 22:42:23 +0200
Reply-To: Carsten Hojlund <firstname.lastname@example.org>
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
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).