I am trying to do a multiple regression with more than 16 variables and just realized that Microsfot Excel cannot handle the number of variables.I don't have access to any other software packages at the moment.Is anyone aware of any free packages that can handle this number of variables? Thanks

- riskneutralprob
**Posts:**37**Joined:**

R would be my first choice.If you have access to matrix operations (ie inverse, etc), you could do it yourself. Maybe you could even use excel's MINVERSE method.

QuoteOriginally posted by: robkaczI am trying to do a multiple regression with more than 16 variables multicollinearity what?

Yes, R would be the best time investment for you even if you had already paid tons of money for packages like SAS.If you are ever interested in exploiting simple and complex data mining techniques for trading or something else, R has the richest and most up-to-date libraries.

what is the algorithm you are trying to implement ?

QuoteOriginally posted by: ExSanwhat is the algorithm you are trying to implement ?{=MMULT(MINVERSE(MMULT(TRANSPOSE(X),X)),MMULT(TRANSPOSE(X),Y))}

A very nice open source implementation is available for free from alglib. This would be useful if you wanted something built into a code framework. Lots of control, ability to tune, etc.

QuoteOriginally posted by: bearishQuoteOriginally posted by: ExSanwhat is the algorithm you are trying to implement ?{=MMULT(MINVERSE(MMULT(TRANSPOSE(X),X)),MMULT(TRANSPOSE(X),Y))}It's missing a bracket.

QuoteOriginally posted by: dweebQuoteOriginally posted by: bearishQuoteOriginally posted by: ExSanwhat is the algorithm you are trying to implement ?{=MMULT(MINVERSE(MMULT(TRANSPOSE(X),X)),MMULT(TRANSPOSE(X),Y))}It's missing a bracket.Why don't you try it? I left the curly brackets on the outside to indicate that you need to hit Ctrl-Shift-Enter to invoke it. You actually have to remove them manually.

QuoteOriginally posted by: bearishQuoteOriginally posted by: dweebQuoteOriginally posted by: bearishQuoteOriginally posted by: ExSanwhat is the algorithm you are trying to implement ?{=MMULT(MINVERSE(MMULT(TRANSPOSE(X),X)),MMULT(TRANSPOSE(X),Y))}It's missing a bracket.Why don't you try it? I left the curly brackets on the outside to indicate that you need to hit Ctrl-Shift-Enter to invoke it. You actually have to remove them manually.It was a joke. This is an Excel array for a a point estimate from a multiple explanatory variable regression??

- katastrofa
**Posts:**9581**Joined:****Location:**Alpha Centauri

Evil/crap solution: if Excel cannot handle all 16 variables, you can fit 8 variables, calculate residuals and fit the residuals with the remaining 8 variables. The norm you will be minimising is different than in the original problem so you will get a different result, but hopefully similar to the right one :-)a

I once attended an academic job interview for which the candidate presented a paper that smelled a bit fishy, so to speak. A few probing questions revealed that the guy had almost as many regression variables as data points. Needless to say he didn't get the job!

GZIP: On